3. State process estimator
3.1 Recursive algorithm for calculating the a posteriori law
The calculation of the a posteriori law at iteration n is obtained by a recursive algorithm (figure 5) that takes advantage of the dynamic state model. It comprises two steps; the calculation of the law of state xn from past observations y0,..., yn-1 called the prediction step, then the update step which consists in...
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State process estimator
Estimator for a nonlinear or non-Gaussian dynamic state model
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