Computable infinite-dimensional filters with applications to discretized diffusion processes

DOI10.1016/j.spa.2006.03.004zbMath1122.93079arXivmath/0505153OpenAlexW1994440284MaRDI QIDQ855688

Mireille Chaleyat-Maurel, Valentine Genon-Catalot

Publication date: 7 December 2006

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

Full work available at URL: https://arxiv.org/abs/math/0505153

zbMATH Keywords

diffusion processeshidden Markov modelsdiscrete time observationsstochastic filteringprior and posterior distributions

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (12)

Adaptive estimation of linear functionals in the convolution model and applications ⋮ Least squares type estimation of the transition density of a particular hidden Markov chain ⋮ Approximate filtering via discrete dual processes ⋮ Smoothing distributions for conditional Fleming-Viot and Dawson-Watanabe diffusions ⋮ Optimal filtering and the dual process ⋮ Sobolev-Hermite versus Sobolev nonparametric density estimation on \(\mathbb{R}\) ⋮ Nonparametric estimation of the stationary density and the transition density of a Markov chain ⋮ Nonparametric drift estimation for i.i.d. paths of stochastic differential equations ⋮ Adaptive estimation of the transition density of a particular hidden Markov chain ⋮ Multiplicative Kalman filtering ⋮ Exact inference for a class of hidden Markov models on general state spaces ⋮ Filtering the Wright-Fisher diffusion

Uses Software

• astsa

Cites Work

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