Parameter estimation and asymptotic stability in stochastic filtering

DOI10.1016/J.SPA.2006.01.002zbMath1097.62093OpenAlexW2076074344MaRDI QIDQ2507670

Anastasia Papavasiliou

Publication date: 5 October 2006

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

Full work available at URL: https://doi.org/10.1016/j.spa.2006.01.002

zbMATH Keywords

asymptotic stabilitynonlinear filteringconsistency of Bayesian estimators

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes and prediction (62M20) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Signal detection and filtering (aspects of stochastic processes) (60G35) Asymptotic stability in control theory (93D20)

Related Items (10)

On robustness of discrete time optimal filters ⋮ A pseudo-marginal sequential Monte Carlo online smoothing algorithm ⋮ Maximum likelihood estimator for hidden Markov models in continuous time ⋮ Nested particle filters for online parameter estimation in discrete-time state-space Markov models ⋮ Model robustness of finite state nonlinear filtering over the infinite time horizon ⋮ Stability of the filter with Poisson observations ⋮ Posterior consistency for partially observed Markov models ⋮ A Kalman particle filter for online parameter estimation with applications to affine models ⋮ A uniformly convergent adaptive particle filter ⋮ Uniform convergence over time of a nested particle filtering scheme for recursive parameter estimation in state-space Markov models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Bayes estimators and ergodic decomposability with an application to Cox processes
• Exponential stability for nonlinear filtering
• On recursive estimation for hidden Markov models
• Asymptotic stability, ergodicity and other asymptotic properties of the nonlinear filter.
• Stability and uniform approximation of nonlinear filters using the Hilbert metric and application to particle filters
• Exponential stability in discrete-time filtering for non-ergodic signal.
• Asymptotic properties of the maximum likelihood estimator in autoregressive models with Markov regime
• Stability of nonlinear filters in nonmixing case
• A uniform convergence theorem for the numerical solving of the nonlinear filtering problem
• Long Time Behavior for Some Dynamical Noise Free Nonlinear Filtering Problems
• Asymptotic Stability of the Wonham Filter: Ergodic and Nonergodic Signals
• Particle Filtering for Partially Observed Gaussian State Space Models
• On the stability of measure valued processes with applications to filtering
• Asymptotic Stability of the Optimal Filter with Respect to Its Initial Condition
• A survey of convergence results on particle filtering methods for practitioners
• A uniformly convergent adaptive particle filter

This page was built for publication: Parameter estimation and asymptotic stability in stochastic filtering