Filtering, Smoothing andM-ary Detection with Discrete Time Poisson Observations

DOI10.1080/07362990500184808zbMATH Open1140.93484OpenAlexW1999910042MaRDI QIDQ5697669FDOQ5697669

Authors:

Publication date: 18 October 2005

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

Full work available at URL: https://doi.org/10.1080/07362990500184808

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zbMATH Keywords

Backwards dynamics, Discrete parameter martingales, Detection, Jump Markov systems, Poisson random variables, Reference probability

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Estimation and detection in stochastic control theory (93E10)

Cites Work

• Title not available (Why is that?)
• Nonlinear filtering with counting observations
• Discrete time filters for doubly stochastic poisson processes and other exponential noise models
• Filtering, Prediction and Smoothing for Counting Process Observations, a Martingale Approach
• Finite-dimensional models for hidden Markov chains
• Exact filters for doubly stochastic AR models with conditionally Poisson observations

Cited In (1)

• \(M\)-ary detection of Markov-modulated Poisson processes in inventory models

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