Filtering and prediction: A primer

MaRDI QIDQ5309939zbMATH OpenFDO

Authors Naresh C. Jain, Bert E. Fristedt, N. V. Krylov

Publication date 4 October 2007

zbMATH Keywords

autoregressive-moving average sequencesconditional expectationshidden Markov modelsKalman filterMarkov processesstationary sequencesWiener processes

Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Prediction theory (aspects of stochastic processes) (60G25) Signal detection and filtering (aspects of stochastic processes) (60G35) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Continuous-time Markov processes on discrete state spaces (60J27) Diffusion processes (60J60) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Inference from stochastic processes and prediction (62M20)

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Cited in

(6)

• Exact and approximate hidden Markov chain filters based on discrete observations
• Data assimilation in cardiovascular fluid-structure interaction problems: an introduction
• Universal Filtering Via Prediction
• Fundamental design tradeoffs in filtering, prediction, and smoothing
• Measure Theory and Filtering
• Stochastic filtering of reaction networks partially observed in time snapshots

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