Optimal filtering of doubly stochastic auto-regressive processes
type: Item
instance of: scholarly article
title: Optimal filtering of doubly stochastic auto-regressive processes
zbMATH Open document ID: 0937.93051
DOI: 10.1016/S0005-1098(98)00149-6
author: Vikram Krishnamurthy
author: Jamie S. Evans
published in: Automatica
publication date: 1999-08-22T00:00:00Z
review text: Here the authors derive exact finite-dimensional filters for a class of doubly stochastic auto-regressive models, the parameters of such processes varying according to a nonlinear function of a Gauss-Markov process. A characterization of the general solution is provided, and examples in which the state of the filter is determined by a finite number of sufficient statistics are furnished.
Mathematics Subject Classification ID: 93E11
Mathematics Subject Classification ID: 93C55
zbMATH DE Number: 1325691
zbMATH Keywords: finite-dimensional filters
zbMATH Keywords: doubly stochastic auto-regressive models
reviewed by: Andrew Dale
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 1325691