Discrete time nonlinear filtering with marked point process observations

DOI10.1080/07362999908809590zbMATH Open0914.62072OpenAlexW2029615531MaRDI QIDQ4238564FDOQ4238564

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Publication date: 23 June 1999

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

Full work available at URL: https://doi.org/10.1080/07362999908809590

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zbMATH Keywords

filteringZakai equationmarked point processesnonlinear signal process

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Inference from stochastic processes and prediction (62M20) Signal detection and filtering (aspects of stochastic processes) (60G35)

Cites Work

• How to track a swarm of fireflies by observing their flashes (Corresp.)
• Finite-dimensional models for hidden Markov chains

Cited In (9)

• Discrete-time estimation of a Markov chain with marked point process observations. Application to Markovian jump filtering
• Filtering of discrete-time systems hidden in discrete-time random measures
• Optimal smoother for discrete time point processes with finite-state Markov rate (Corresp.)
• A Monte Carlo method for filtering a marked doubly stochastic Poisson process
• A Marked Point Process for Modeling Lidar Waveforms
• Discrete–time nonlinear filtering with marked point process observations: ii. risk–sensitive filters
• State estimations for the Markov process driven by a point process
• Suboptimal nonlinear filtering of the rate of an observed point process
• Computable infinite-dimensional filters with applications to discretized diffusion processes

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