Finite dimensional filters for nonlinear stochastic difference equations with multiplicative noises

DOI10.1016/S0304-4149(98)00037-4zbMath0927.93054WikidataQ127908426 ScholiaQ127908426MaRDI QIDQ1805792

Paolo Vidoni, Marco Ferrante

Publication date: 18 November 1999

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

zbMATH Keywords

stochastic filteringstochastic difference equationsfinite dimensional filtersproduct of positive random variables

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Nonlinear systems in control theory (93C10) Discrete-time control/observation systems (93C55) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (8)

A Gaussian-generalized inverse Gaussian finite-dimensional filter. ⋮ Computable infinite-dimensional filters with applications to discretized diffusion processes ⋮ A new filtering inference procedure for a GED state-space volatility model ⋮ Approximate filtering via discrete dual processes ⋮ Modeling volatility using state space models with heavy tailed distributions ⋮ Pairwise Likelihood Inference for General State Space Models ⋮ Particle filtering approximations for a Gaussian-generalized inverse Gaussian model ⋮ Exact inference for a class of hidden Markov models on general state spaces

Cites Work

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• On necessary conditions for the existence of finite-dimensional filters in discrete time
• Local scale models. State space alternative to integraded GARCH processes
• Stochastic processes and filtering theory
• Exact finite-dimensional filters for certain diffusions with nonlinear drift
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• Exponential Family State Space Models Based on a Conjugate Latent Process
• Finite dimensional filters for a discrete-time nonlinear system with generalized gaussian white noise
• Some Properties of Beta and Gamma Distributions

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