The key to the general estimation problem is the computation ofthe posterior probability density function (PDF) of the desiredparameter, or PDF conditioned on knowing all availableobservations. Any optimum estimate can be computed from this PDF. The theory and implementation of a numerical solution ispresented for the computation of the posterior PDF in real time fortime delay tracking with a first-order Markov assumption. Benefitsinclude a lack of threshold effects usually associated with nonlineartrackers as well as theoretically optimum performance.
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Bethel et al. (1987) studied this question.
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