Download or read book The Bayesian Approach to Recursive State Estimation written by Stuart Charles Kramer and published by . This book was released on 1985 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Bayesian estimation, the objective is to calculate the complete density function for an unknown quantity conditioned on noisy observations of that quantity. This work considers recursive estimation of a nonlinear discrete-time system state using successive observations. The formal recursion for the density function is easily written, but generally there is no closed form solution. The numerical solution proposed here is obtained by modifying the recursion and using a simple piece-wise constant approximation to the density functions. The critical part of the algorithm then becomes a discrete linear convolution that can be realized using FFT's. Keywords: error analysis; and parameter estimation.