Fast continuous-discrete DAF-filters

DOI10.1111/J.1467-9892.2011.00751.XMaRDI QIDQ2930879zbMATH OpenOpenAlexFDO

Authors Thomas Mazzoni

Publication date 20 November 2014

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2011.00751.x

zbMATH Keywords

continuous-discrete nonlinear filterdistributed approximating functionalsFokker-Planck-equation

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Inference from stochastic processes and prediction (62M20)

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Cited in

(4)

• Continuous-discrete state-space modeling of panel data with nonlinear filter algorithms
• Grid methods for Bayes-optimal continuous-discrete filtering and utilizing a functional tensor train representation
• scientific article; zbMATH DE number 7759279 (Why is no real title available?)
• Continuous-discrete path integral filtering

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