A criterion for filtering in semimartingale models

DOI10.1016/0304-4149(88)90099-3zbMath0651.62090OpenAlexW2002437839MaRDI QIDQ1106597

A. Thavaneswaran, Mary E. Thompson

Publication date: 1988

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(88)90099-3

zbMATH Keywords

filteringestimation functioncontinuous semimartingale modelestimates for random signalsIto's differential rulenonconjugate prior situations

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Generalizations of martingales (60G48) Signal detection and filtering (aspects of stochastic processes) (60G35) Martingales with continuous parameter (60G44)

Related Items (5)

Optimal estimating functions, quasi-likelihood and statistical modelling ⋮ A note on Model Reference Adaptive System (MRAS) estimate with infinite variance ⋮ Filtering via estimating functions ⋮ Recursive estimation for continuous time stochastic volatility models ⋮ A note on filtering for long memory processes

Cites Work

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• Infinite dimensional linear systems theory
• Quasi-likelihood estimation for semimartingales
• Multiparametric estimating equations
• Dynamic Generalized Linear Models and Bayesian Forecasting
• The foundations of finite sample estimation in stochastic processes
• Optimal estimation for semimartingales
• Estimating equations in the presence of prior knowledge

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