Multiplicative Kalman filtering

DOI10.1007/s11749-010-0208-0zbMath1274.62549OpenAlexW1982852669WikidataQ57718435 ScholiaQ57718435MaRDI QIDQ1761531

Valentine Genon-Catalot, Fabienne Comte, Mathieu Kessler

Publication date: 15 November 2012

Published in: Test (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11749-010-0208-0

zbMATH Keywords

filteringhidden Markov modelsdiscrete time observationsparametric inferencescale perturbation

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Markov processes: estimation; hidden Markov models (62M05) Signal detection and filtering (aspects of stochastic processes) (60G35) Diffusion processes (60J60)

Related Items (3)

Approximate filtering via discrete dual processes ⋮ Exact inference for a class of hidden Markov models on general state spaces ⋮ Filtering the Wright-Fisher diffusion

Cites Work

• Computable infinite-dimensional filters with applications to discretized diffusion processes
• A non-linear explicit filter.
• Random scale perturbation of an AR(1)-process and its properties as a non linear explicit filter
• Inference in hidden Markov models.
• Finite dimensional filter systems in discrete time
• Sufficient conditions for finite dimensionality of filters in discrete time: A Laplace transform-based approach

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