Multiplicative Kalman filtering
From MaRDI portal
Publication:1761531
DOI10.1007/s11749-010-0208-0zbMath1274.62549WikidataQ57718435 ScholiaQ57718435MaRDI QIDQ1761531
Valentine Genon-Catalot, Fabienne Comte, Mathieu Kessler
Publication date: 15 November 2012
Published in: Test (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11749-010-0208-0
filtering; hidden Markov models; discrete time observations; parametric inference; scale perturbation
62M20: Inference from stochastic processes and prediction
62M05: Markov processes: estimation; hidden Markov models
60G35: Signal detection and filtering (aspects of stochastic processes)
60J60: Diffusion processes
Related Items
Filtering the Wright-Fisher diffusion, Exact inference for a class of hidden Markov models on general state spaces
Cites Work
- Computable infinite-dimensional filters with applications to discretized diffusion processes
- A non-linear explicit filter.
- Random scale perturbation of an AR(1)-process and its properties as a non linear explicit filter
- Inference in hidden Markov models.
- Finite dimensional filter systems in discrete time
- Sufficient conditions for finite dimensionality of filters in discrete time: A Laplace transform-based approach