Random scale perturbation of an AR(1)-process and its properties as a non linear explicit filter
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Publication:1763110
DOI10.3150/bj/1093265637zbMath1055.62102OpenAlexW1972225965WikidataQ57718461 ScholiaQ57718461MaRDI QIDQ1763110
Valentine Genon-Catalot, Mathieu Kessler
Publication date: 21 February 2005
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3150/bj/1093265637
filteringhidden Markov modelsmultiplicative noisediscrete time observationstability of the filtering algorithm
Related Items
Computable infinite-dimensional filters with applications to discretized diffusion processes, Adaptive estimation of linear functionals in the convolution model and applications, Approximate filtering via discrete dual processes, Optimal filtering and the dual process, Multiplicative Kalman filtering, Leroux's method for general hidden Markov models, Exact inference for a class of hidden Markov models on general state spaces, Filtering the Wright-Fisher diffusion
Cites Work
- A non-linear explicit filter.
- Kalman Filtering with Random Coefficients and Contractions
- Finite dimensional filter systems in discrete time
- Sufficient conditions for finite dimensionality of filters in discrete time: A Laplace transform-based approach
- On the stability of interacting processes with applications to filtering and genetic algorithms
