On robustness of discrete time optimal filters
DOI10.3103/S1066530716030042zbMATH Open1365.60041arXiv1501.00190WikidataQ59892215 ScholiaQ59892215MaRDI QIDQ2396743FDOQ2396743
A. Yu. Veretennikov, Marina Kleptsyna
Publication date: 24 May 2017
Published in: Mathematical Methods of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1501.00190
Nonparametric robustness (62G35) Inference from stochastic processes and prediction (62M20) Signal detection and filtering (aspects of stochastic processes) (60G35) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)
Cites Work
- Stability and uniform approximation of nonlinear filters using the Hilbert metric and application to particle filters
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- Parameter estimation and asymptotic stability in stochastic filtering
- On discrete time ergodic filters with wrong initial data
- Exponential stability for nonlinear filtering
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- A uniformly convergent adaptive particle filter
- Rate of mixing and the averaging principles for stochastic recursive procedures
Cited In (6)
- Robustness to incorrect models and data-driven learning in average-cost optimal stochastic control
- Robust Optimal Filtering Over Lossy Networks
- Implicit and explicit discrete-time realizations of the robust exact filtering differentiator
- On the stability of positive semigroups
- A robustification approach to stability and to uniform particle approximation of nonlinear filters: the example of pseudo-mixing signals.
- Robustness to Incorrect System Models in Stochastic Control
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