Discrete time filters for doubly stochastic poisson processes and other exponential noise models

DOI<link itemprop=identifier href="https://doi.org/10.1002/(SICI)1099-1115(199908)13:5<393::AID-ACS561>3.0.CO;2-J" /><393::AID-ACS561>3.0.CO;2-J 10.1002/(SICI)1099-1115(199908)13:5<393::AID-ACS561>3.0.CO;2-JzbMath0934.93063OpenAlexW2066913179MaRDI QIDQ4269862

Robert J. Elliott, Vikram Krishnamurthy, Jonathan H. Manton

Publication date: 6 April 2000

Full work available at URL: https://doi.org/10.1002/(sici)1099-1115(199908)13:5<393::aid-acs561>3.0.co;2-j

zbMATH Keywords

exponential familiesfinite-dimensional filterslinear Gaussian systemsdoubly stochastic Poisson models

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11)

Related Items (5)

Estimating a State-Space Model from Point Process Observations ⋮ Functional estimation of the random rate of a Cox process ⋮ Filtering, Smoothing andM-ary Detection with Discrete Time Poisson Observations ⋮ Online Variational Inference for State-Space Models with Point-Process Observations ⋮ A numerical filtering method for linear state‐space models with Markov switching

Cites Work

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• Recursive Bayesian estimation using Gaussian sums
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• Finite dimensional filter systems in discrete time
• Recursive estimation from discrete-time point processes
• Parameter estimation for Markov modulated poisson processes
• Sufficiency Statistics in the Case of Independent Random Variables
• Invariant Conditional Distributions
• Filtering and detection for doubly stochastic Poisson processes

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