A criterion for filtering in semimartingale models
type: Item
instance of: scholarly article
title: A criterion for filtering in semimartingale models
zbMATH Open document ID: 0651.62090
DOI: 10.1016/0304-4149(88)90099-3
author: A. Thavaneswaran
author: Mary E. Thompson
published in: Stochastic Processes and their Applications
publication date: 1988-01-01T00:00:00Z
review text: \textit{V. P. Godambe}'s approach [Biometrika 72, 419-428 (1985; Zbl 0584.62135)] is employed to obtain estimates for random signals for a continuous semimartingale model.
Mathematics Subject Classification ID: 62M20
Mathematics Subject Classification ID: 60G35
Mathematics Subject Classification ID: 60G48
Mathematics Subject Classification ID: 60G44
zbMATH DE Number: 4062423
zbMATH Keywords: estimation function
zbMATH Keywords: filtering
zbMATH Keywords: nonconjugate prior situations
zbMATH Keywords: Ito's differential rule
zbMATH Keywords: estimates for random signals
zbMATH Keywords: continuous semimartingale model
MaRDI profile type: Publication
full work available at URL: 0304-4149(88)90099-3
OpenAlex ID: W2002437839
cites work: Infinite dimensional linear systems theory
cites work: Estimating equations in the presence of prior knowledge
cites work: Multiparametric estimating equations
cites work: Q3969647
cites work: The foundations of finite sample estimation in stochastic processes
cites work: Quasi-likelihood estimation for semimartingales
cites work: Q3685768
cites work: Optimal estimation for semimartingales
cites work: Dynamic Generalized Linear Models and Bayesian Forecasting
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description: scientific article; zbMATH DE number 4062423