Recurrent algorithms for detection of stochastic signals in the state   space
  The paper is devoted to synthesis of recurrent algorithms for detection of stochastic signals given in state space. The structure of the algorithms synthesized is shown to be close to that of the Kalman filter. Analysis of one of the algorithms synthesized is carried out. Illustration of connection between weight coefficients of processing system, which are formed in implicit form, is given. Dynamics of amplification and feedback coefficients of the system is studied; calculation of its detection characteristics is fulfilled. Synthesis of the filters is also carried out for the continuous time. The algorithms synthesized are extended to the case of a mixture of stochastic correlated interferences and white noise. Modification of one of the algorithms is made which enables its use for solving problems of multialternative detection. 
Arthur N. Yuryev, prepared for publication by V. A. Yuryev
physics.optics physics.data-an