Convergence of the calculation of the innovation process

DOI10.1109/18.179375MaRDI QIDQ4034470zbMATH OpenOpenAlexFDO

Authors Yu Yaoqi, Rui J. P. de Figueiredo

Publication date 16 May 1993

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/18.179375

zbMATH Keywords

nonlinear filteringinnovation processItô stochastic integral

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11)

Recommendations

• Stochastics of innovation processes
• scientific article; zbMATH DE number 3854757
• On the Existence of an Innovation Process for a Component of a Diffusion-Type Process
• scientific article; zbMATH DE number 3903703
• scientific article; zbMATH DE number 4026684
• scientific article; zbMATH DE number 1023345
• Optimal trajectories of the innovation process and their matching with econometric data
• On the Convergence Rate of an Iterative Process
• On the rate of convergence of the innovation representation of a moving average process
• scientific article; zbMATH DE number 4084665

Cited in

(2)

• The innovations problem
• An infinite expansion for nonlinear filtering

This page was built for publication: Convergence of the calculation of the innovation process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4034470)