Discrete time filters for doubly stochastic poisson processes and other exponential noise models

DOI<393::AID-ACS561>3.0.CO;2-J 10.1002/(SICI)1099-1115(199908)13:5<393::AID-ACS561>3.0.CO;2-JzbMath0934.93063MaRDI QIDQ4269862

Robert J. Elliott, Vikram Krishnamurthy, Jonathan H. Manton

Publication date: 6 April 2000

Full work available at URL: https://doi.org/10.1002/(sici)1099-1115(199908)13:5<393::aid-acs561>3.0.co;2-j

zbMATH Keywords

exponential families; finite-dimensional filters; linear Gaussian systems; doubly stochastic Poisson models

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

Related Items

Estimating a State-Space Model from Point Process Observations, A numerical filtering method for linear state‐space models with Markov switching, Online Variational Inference for State-Space Models with Point-Process Observations, Filtering, Smoothing andM-ary Detection with Discrete Time Poisson Observations, Functional estimation of the random rate of a Cox process

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