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Abstract: The nonlinear filter for an ergodic signal observed in white noise is said toachieve maximal accuracy if the stationary filtering error vanishes as thesignal to noise ratio diverges. We give a general characterization of themaximal accuracy property in terms of various systems theoretic notions. Whenthe signal state space is a finite set explicit necessary and sufficientconditions are obtained, while the linear Gaussian case reduces to a classicresult of Kwakernaak and Sivan 1972.



Author: Ramon van Handel

Source: https://arxiv.org/







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