Estimation of Noisy Telegraph Processes; Nonlinear Filtering versus Nonlinear Smoothing.

摘要

In the estimation problem of a two-state stationary Markov process with Gaussian white noise added, the optimal smoother is a two-filter smoother. In a special case, we compare analytically the optimal nonlinear filter and smoother and find that the latter is significantly better than the former when either the noise intensity or the rate of jump of the states is low. (Author)