A criterion for filtering in semimartingale models

DOI10.1016/0304-4149(88)90099-3MaRDI QIDQ1106597zbMATHOpenAlexFDO

Authors A. Thavaneswaran, Mary E. Thompson

Publication date 1988

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(88)90099-3

zbMATH Keywords

filteringestimation functioncontinuous semimartingale modelestimates for random signalsIto's differential rulenonconjugate prior situations

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Signal detection and filtering (aspects of stochastic processes) (60G35) Generalizations of martingales (60G48) Martingales with continuous parameter (60G44)

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Cites work

• scientific article; zbMATH DE number 3909450 (Why is no real title available?)
• scientific article; zbMATH DE number 3793150 (Why is no real title available?)
• Dynamic Generalized Linear Models and Bayesian Forecasting
• Estimating equations in the presence of prior knowledge
• Infinite dimensional linear systems theory
• Multiparametric estimating equations
• Optimal estimation for semimartingales
• Quasi-likelihood estimation for semimartingales
• The foundations of finite sample estimation in stochastic processes

Cited in

(6)

• scientific article; zbMATH DE number 3951702 (Why is no real title available?)
• A note on filtering for long memory processes
• Optimal estimating functions, quasi-likelihood and statistical modelling
• Recursive estimation for continuous time stochastic volatility models
• A note on Model Reference Adaptive System (MRAS) estimate with infinite variance
• Filtering via estimating functions

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