Optimal filtering of doubly stochastic auto-regressive processes

DOI10.1016/S0005-1098(98)00149-6MaRDI QIDQ1295087zbMATH OpenFDO

Authors Vikram Krishnamurthy, Jamie S. Evans

Publication date 22 August 1999

Published in Automatica (Search for Journal in Brave)

zbMATH Keywords

finite-dimensional filtersdoubly stochastic auto-regressive models

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Discrete-time control/observation systems (93C55)

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(8)

• Optimal filtering and the dual process
• Nonlinear filtering in spatio-temporal doubly stochastic point processes driven by OU processes
• Exact filters for doubly stochastic AR models with conditionally Poisson observations
• Autoregressive processes in optimization
• scientific article; zbMATH DE number 1507358 (Why is no real title available?)
• SOME DOUBLY STOCHASTIC TIME SERIES MODELS
• Optimal filtering equations in state space model of the two factors mean reverting Ornstein-Uhlenbech process
• Filtering a Double Threshold Model With Regime Switching

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