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

DOI10.1080/07362990500184808zbMath1140.93484OpenAlexW1999910042MaRDI QIDQ5697669

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Publication date: 18 October 2005

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990500184808

zbMATH Keywords

Backwards dynamics, Discrete parameter martingales, Detection, Jump Markov systems, Poisson random variables, Reference probability

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10) Signal detection and filtering (aspects of stochastic processes) (60G35) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Cites Work

• Unnamed Item
• Nonlinear filtering with counting observations
• Filtering, Prediction and Smoothing for Counting Process Observations, a Martingale Approach
• Discrete time filters for doubly stochastic poisson processes and other exponential noise models
• Exact filters for doubly stochastic AR models with conditionally Poisson observations
• Finite-dimensional models for hidden Markov chains

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