Finite dimensional filter systems in discrete time

DOI10.1080/17442508108833176MaRDI QIDQ3924922zbMATH OpenOpenAlexFDO

Authors Günther Sawitzki

Publication date 1981

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508108833176

zbMATH Keywords

exponential familiespartially observable processes

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

Cites work

• Invariant Conditional Distributions
• On a functional equation related to families of exponential probability measures
• Sufficiency Statistics in the Case of Independent Random Variables

Cited in

(15)

• Analyzing communication schemes using methods from nonlinear filtering
• Sul ruolo delle distribuzioni di classe esponenziale nel filtraggio
• Discrete time filters for doubly stochastic poisson processes and other exponential noise models
• Exact inference for a class of hidden Markov models on general state spaces
• On necessary conditions for the existence of finite-dimensional filters in discrete time
• Multiplicative Kalman filtering
• Approximate filtering via discrete dual processes
• Filtering the Wright-Fisher diffusion
• Computable infinite-dimensional filters with applications to discretized diffusion processes
• APPROXIMATE FILTERING OF PARAMETER DRIVEN PROCESSES
• Exact finite-dimensional filters via systems realization for a class of discrete-time nonlinear systems
• A note about the filtering problem in discrete time making use of weak convergence of probability measures
• Random scale perturbation of an AR(1)-process and its properties as a non linear explicit filter
• When is a sequence of sufficient \(\sigma\)-algebras a filter system?
• Discrete-time linear skew-Gaussian system and its recursive fixed-dimensional exact density filtering

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