A central limit theorem in nonlinear filtering

DOI10.1080/17442509108833701zbMath0733.62103OpenAlexW2078436019MaRDI QIDQ3359626

Eddy Mayer-Wolf

Publication date: 1991

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509108833701

zbMATH Keywords

diffusion processCramér-Rao inequalitynonlinear filteringcentral limit theoremconditional probabilityGaussian measureBrownian motionslow observation noiseFisher information matricesasymptotically Gaussian filterweakly corrupted observations

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Central limit and other weak theorems (60F05) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

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