A non-linear explicit filter.

DOI10.1016/S0167-7152(02)00344-9zbMath1041.62079OpenAlexW4298310890MaRDI QIDQ1424477

Valentine Genon-Catalot

Publication date: 14 March 2004

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(02)00344-9

zbMATH Keywords

FilteringHidden Markov modelsDiscrete time observationsPrior and posterior distributions

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items

Computable infinite-dimensional filters with applications to discretized diffusion processes ⋮ Approximate filtering via discrete dual processes ⋮ Multiplicative Kalman filtering ⋮ Random scale perturbation of an AR(1)-process and its properties as a non linear explicit filter ⋮ Leroux's method for general hidden Markov models ⋮ Particle filtering approximations for a Gaussian-generalized inverse Gaussian model ⋮ Comparative survey on nonlinear filtering methods: the quantization and the particle filtering approaches ⋮ Exact inference for a class of hidden Markov models on general state spaces ⋮ Filtering the Wright-Fisher diffusion

Cites Work

• Maximum-likelihood estimation for hidden Markov models
• Statistical methods in finance
• Inference in hidden Markov models. I: Local asymptotic normality in the stationary case.
• Asymptotic normality of the maximum likelihood estimator in state space models
• Stochastic volatility models as hidden Markov models and statistical applications
• Asymptotics of the maximum likelihood estimator for general hidden Markov models
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