Stability of optimal filter higher-order derivatives

DOI10.1016/j.spa.2020.02.001zbMath1445.60036arXiv1806.09595OpenAlexW3004585931MaRDI QIDQ2186650

Vladislav Z. B. Tadić, Arnaud Doucet

Publication date: 9 June 2020

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

Full work available at URL: https://arxiv.org/abs/1806.09595

zbMATH Keywords

state-space modelslog-likelihoodgeometric ergodicityoptimal filterforgetting of initial conditionsoptimal filter higher-order derivatives

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)

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Robustness to incorrect models and data-driven learning in average-cost optimal stochastic control

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