A criterion for filtering in semimartingale models

DOI10.1016/0304-4149(88)90099-3zbMath0651.62090MaRDI QIDQ1106597

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

filtering; estimation function; continuous semimartingale model; estimates for random signals; Ito's differential rule; nonconjugate prior situations

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

60G48: Generalizations of martingales

60G35: Signal detection and filtering (aspects of stochastic processes)

60G44: Martingales with continuous parameter

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Cites Work

• Infinite dimensional linear systems theory
• Quasi-likelihood estimation for semimartingales
• Multiparametric estimating equations
• Dynamic Generalized Linear Models and Bayesian Forecasting
• The foundations of finite sample estimation in stochastic processes
• Optimal estimation for semimartingales
• Estimating equations in the presence of prior knowledge
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