A criterion for filtering in semimartingale models (Q1106597)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A criterion for filtering in semimartingale models |
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A criterion for filtering in semimartingale models (English)
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1988
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\textit{V. P. Godambe}'s approach [Biometrika 72, 419-428 (1985; Zbl 0584.62135)] is employed to obtain estimates for random signals for a continuous semimartingale model.
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estimation function
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filtering
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nonconjugate prior situations
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Ito's differential rule
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estimates for random signals
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continuous semimartingale model
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