Nonparametric state estimation of diffusion processes

DOI10.1093/biomet/89.2.451zbMath1019.62080OpenAlexW2068802962MaRDI QIDQ4419413

Isao Shoji

Publication date: 13 August 2003

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/89.2.451

zbMATH Keywords

state estimationKalman filterdiffusion processesstate space model

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05)

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