A non-linear explicit filter.

DOI10.1016/S0167-7152(02)00344-9MaRDI QIDQ1424477zbMATH OpenOpenAlexFDO

Authors V. Genon-Catalot

Publication date 14 March 2004

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-7152(02)00344-9

zbMATH Keywords

Discrete time observationsFilteringHidden Markov modelsPrior and posterior distributions

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11)

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Cites work

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Cited in

(19)

• Particle filtering approximations for a Gaussian-generalized inverse Gaussian model
• Multiplicative Kalman filtering
• Random scale perturbation of an AR(1)-process and its properties as a non linear explicit filter
• Exact inference for a class of hidden Markov models on general state spaces
• A new nonlinear filter
• Leroux's method for general hidden Markov models
• Stable nonparametric signal filtration in nonlinear models
• Regularized nonparametric filtering of signal with unknown distribution in nonlinear observation model
• A nonlinear filter with fractional Gaussian noise
• scientific article; zbMATH DE number 4174041 (Why is no real title available?)
• scientific article; zbMATH DE number 4059255 (Why is no real title available?)
• scientific article; zbMATH DE number 78002 (Why is no real title available?)
• scientific article; zbMATH DE number 753747 (Why is no real title available?)
• scientific article; zbMATH DE number 1453174 (Why is no real title available?)
• Regularization of positive signal nonparametric filtering in multiplicative observation model
• Comparative survey on nonlinear filtering methods: the quantization and the particle filtering approaches
• Filtering the Wright-Fisher diffusion
• Approximate filtering via discrete dual processes
• Computable infinite-dimensional filters with applications to discretized diffusion processes

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