A non-linear explicit filter.
type: Item
instance of: scholarly article
title: A non-linear explicit filter.
zbMATH Open document ID: 1041.62079
DOI: 10.1016/S0167-7152(02)00344-9
author: V. Genon-Catalot
published in: Statistics \& Probability Letters
publication date: 2004-03-14T00:00:00Z
Mathematics Subject Classification ID: 62M20
Mathematics Subject Classification ID: 93E11
Mathematics Subject Classification ID: 60G35
zbMATH DE Number: 2055337
zbMATH Keywords: Filtering
zbMATH Keywords: Discrete time observations
zbMATH Keywords: Hidden Markov models
zbMATH Keywords: Prior and posterior distributions
MaRDI profile type: Publication
cites work: Inference in hidden Markov models. I: Local asymptotic normality in the stationary case.
cites work: Q4501607
cites work: Asymptotics of the maximum likelihood estimator for general hidden Markov models
cites work: Q4323296
cites work: Stochastic volatility models as hidden Markov models and statistical applications
cites work: Statistical methods in finance
cites work: Asymptotic normality of the maximum likelihood estimator in state space models
cites work: Maximum-likelihood estimation for hidden Markov models
cites work: Q4139359
full work available at URL: s0167-7152(02)00344-9
OpenAlex ID: W4298310890
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description: scientific article; zbMATH DE number 2055337