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

DOI10.1080/07362990500184808MaRDI QIDQ5697669zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3868304 (Why is no real title available?)
• Discrete time filters for doubly stochastic poisson processes and other exponential noise models
• Exact filters for doubly stochastic AR models with conditionally Poisson observations
• Filtering, Prediction and Smoothing for Counting Process Observations, a Martingale Approach
• Finite-dimensional models for hidden Markov chains
• Nonlinear filtering with counting observations

Cited in

(1)

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

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