Optimal estimation for discrete time jump processes

Abstract

Optimum estimates of nonobservable random variables or random processes which influence the rate functions of a discrete time jump process (D) are derived. The approach used is based on the {\em a posteriori} probability of a nonobservable event expressed in terms of the {\em a priori} probability of that event and of the sample function probability of the DTJP. Thus a general representation is obtained for optimum estimates, and recursive equations are derived for minimum mean-squared error (MMSE) estimates. In general, MMSE estimates are nonlinear functions of the observations. The problem of estimating the rate of a DTJP when the rate is a random variable with a beta probability density function and the jump amplitudes are binomially distributed is considered. It is shown that the MMSE estimates ale linear. The class of beta density functions is rather rich and explains why there are insignificant differences between optimum unconstrained and linear MMSE estimates in a variety of problems.