Optimal filtering of doubly stochastic auto-regressive processes (Q1295087)
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scientific article; zbMATH DE number 1325691
| Language | Label | Description | Also known as |
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| English | Optimal filtering of doubly stochastic auto-regressive processes |
scientific article; zbMATH DE number 1325691 |
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Optimal filtering of doubly stochastic auto-regressive processes (English)
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22 August 1999
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Here the authors derive exact finite-dimensional filters for a class of doubly stochastic auto-regressive models, the parameters of such processes varying according to a nonlinear function of a Gauss-Markov process. A characterization of the general solution is provided, and examples in which the state of the filter is determined by a finite number of sufficient statistics are furnished.
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finite-dimensional filters
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doubly stochastic auto-regressive models
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0.88985234
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0.88611597
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