Discrete time nonlinear filtering with marked point process observations

DOI10.1080/07362999908809590MaRDI QIDQ4238564zbMATH OpenOpenAlexFDO

Authors

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

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)

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Cites work

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

Cited in

(10)

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

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