On some filtration procedure for jump Markov process observed in white Gaussian noise

DOI10.1214/aos/1176348909zbMath0769.62072OpenAlexW1969887439MaRDI QIDQ1208669

B. V. Lazareva, Rafail Z. Khasminskii

Publication date: 16 May 1993

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176348909

zbMATH Keywords

Brownian motionMarkov processasymptotic efficiencyGaussian white noiseinfinitesimal generatortransition probabilityjump Markov processreflecting barrierdiffusion constantstandard Wiener processoptimal estimatorMarkov chain with two statesoptimal filtration

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Signal detection and filtering (aspects of stochastic processes) (60G35) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (4)

The detection and estimation of the change point in a disccrete-time stochastic system ⋮ Asymptotic filtering for finite state Markov chains ⋮ Estimating the state of a noisy continuous time Markov chain when dynamic sampling is feasible ⋮ Estimating the locations of multiple change points in the mean

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