Robustness of estimators in a finitely additive white noise model

DOI10.1080/17442508708833466zbMath0633.62090OpenAlexW1974320842MaRDI QIDQ3771453

Hans-Peter Hucke

Publication date: 1987

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508708833466

zbMATH Keywords

robust estimationdiscrete approximationsKalman-Bucy filterwhite noise modelfinitely additive probabilitynon-linear filteringnon-linear estimationknown covariance matricesLipschitz-continuous functions

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Robustness and adaptive procedures (parametric inference) (62F35) Markov processes: estimation; hidden Markov models (62M05) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (1)

Nonlinear filtering of reflecting diffusion processes

Cites Work

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• A finitely additive white noise approach to nonlinear filtering
• The nonlinear filtering problem for the unbounded case
• White noise calculus and nonlinear filtering theory
• Continuous-time approximations for the nonlinear filtering problem
• Approximations for functionals and optimal control problems on jump diffusion processes
• Measure-valued equations for the optimum filter in finitely additive nonlinear filtering theory

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