Filtering and parameter estimation for a jump stochastic process with discrete observations

DOI10.1214/ECP.V13-1363zbMath1231.62171OpenAlexW2138852572MaRDI QIDQ1038875

Oleg V. Makhnin

Publication date: 20 November 2009

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/228744

zbMATH Keywords

Kalman filternonlinear filteringjump processestarget trackingparticle filtering

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Non-Markovian processes: estimation (62M09)

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