Abstract
The state estimation problem for a linear system driven by homogeneous Poisson processes of low intensities in the presence of white Gaussian noise is considered. A sequential estimation-detection scheme is developed as a suboptimal solution to the problem. The asymptotic performance for the time-invariant case as the intensity becomes small is derived and numerically simulated on a digital computer. The two results agree extremely closely, indicating that the scheme performs considerably better than the linear optimal filter in the sense of MSE when the Poisson intensity is small.
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