Optimal filtering of doubly stochastic auto-regressive processes

DOI10.1016/S0005-1098(98)00149-6zbMATH Open0937.93051MaRDI QIDQ1295087FDOQ1295087

Jamie S. Evans, Vikram Krishnamurthy

Publication date: 22 August 1999

Published in: Automatica (Search for Journal in Brave)

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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)

Cited In (6)

• Title not available (Why is that?)
• Autoregressive processes in optimization
• Exact filters for doubly stochastic AR models with conditionally Poisson observations
• Optimal filtering equations in state space model of the two factors mean reverting Ornstein-Uhlenbech process
• Filtering a Double Threshold Model With Regime Switching
• SOME DOUBLY STOCHASTIC TIME SERIES MODELS

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