A generalization of the Kalman filter to models with infinite variance

DOI10.1016/0304-4149(93)90095-LzbMATH Open0791.60033MaRDI QIDQ689167FDOQ689167

Authors: Alain Le Breton, M. Musiela 

Publication date: 14 July 1994

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

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• scientific article; zbMATH DE number 2048368

zbMATH Keywords

predictionsmoothingKalman-Bucy equationslinear filtering systemcàdlàg semimartingales

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

Cites Work

• Innovations and Wold decompositions of stable sequences
• On the strong law of large numbers for multivariate martingales
• Title not available (Why is that?)
• Minimum error dispersion linear filtering of scalar symmetric stable processes

Cited In (18)

• A simple proof for the Kalman-Bucy smoothed estimate formula
• Title not available (Why is that?)
• A Generalization of the Kalman Filter for Models With State-Dependent Observation Variance
• Modèles de Markov triplet et filtrage de Kalman (Triplet Markov models and Kalman filtering)
• Title not available (Why is that?)
• Smoothing and filtering with a class of outer measures
• The Kalman-Bucy filter for integrable Lévy processes with infinite second moment
• A Note on the Filtering for Some Time Series Models
• Kalman filtering and smoothing for linear wave equations with model error
• SVD-based state and parameter estimation approach for generalized Kalman filtering with application to GARCH-in-Mean estimation
• On the stochastic linear regulator problem for systems with infinite invariance
• Title not available (Why is that?)
• Infinite-dimensional filtering: The Kalman\3-Bucy filter in Hilbert space
• Title not available (Why is that?)
• A simple asymptotically optimal filter over an infinite horizon
• The Kalman-Lévy filter
• Title not available (Why is that?)
• Optimal linear filtering for systems of stochastic differential equations with Poisson perturbations

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