Filtering, Prediction and Smoothing for Counting Process Observations, a Martingale Approach
From MaRDI portal
Publication:4158246
DOI10.1137/0132045zbMath0379.60042OpenAlexW2149914603MaRDI QIDQ4158246
Publication date: 1977
Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/0132045
Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic integrals (60H05)
Related Items (16)
Diffusion approximation and filtering for a queueing system with repeats ⋮ Nonlinear filtering with a symmetric space valued discontinuous observation ⋮ RATING TRANSITIONS FORECASTING: A FILTERING APPROACH ⋮ The Filtering Equations Revisited ⋮ Control: a perspective ⋮ Filtering, Smoothing andM-ary Detection with Discrete Time Poisson Observations ⋮ Monotone stopping rules forstochastic processes in a semimartingale representation with applications ⋮ A general replacement model ⋮ Modelling and estimation of traffic flow—a martingale approach ⋮ Explicit Computations for Some Markov Modulated Counting Processes ⋮ EXPLICIT COMPUTATIONS FOR A FILTERING PROBLEM WITH POINT PROCESS OBSERVATIONS WITH APPLICATIONS TO CREDIT RISK ⋮ An alternative approach to non-linear filtering† ⋮ The stochastic filtering problem: a brief historical account ⋮ Filtering formulas and the ./M/1 queue in a quasireversible network ⋮ Suboptimal nonlinear filtering of the rate of an observed point process ⋮ Recursive estimation of a discrete-time Markov chain
This page was built for publication: Filtering, Prediction and Smoothing for Counting Process Observations, a Martingale Approach
