Exact filters for doubly stochastic AR models with conditionally Poisson observations

DOI10.1109/9.754820zbMath0957.93084OpenAlexW2024699272MaRDI QIDQ4506736

Vikram Krishnamurthy, Jamie S. Evans

Publication date: 17 October 2000

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/79655bc465c24540142d9a70931d20faf40abec1

zbMATH Keywords

nonlinear filtersexact filtersPoisson observationsdoubly stochastic auto-regressive process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Filtering in stochastic control theory (93E11) Nonlinear systems in control theory (93C10)

Related Items (1)

Filtering, Smoothing andM-ary Detection with Discrete Time Poisson Observations

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