Computable infinite-dimensional filters with applications to discretized diffusion processes

DOI10.1016/J.SPA.2006.03.004zbMATH Open1122.93079arXivmath/0505153OpenAlexW1994440284MaRDI QIDQ855688FDOQ855688

Authors: Mireille Chaleyat-Maurel, V. Genon-Catalot 

Publication date: 7 December 2006

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

Abstract: Let us consider a pair signal-observation ((xn,yn),n 0) where the unobserved signal (xn) is a Markov chain and the observed component is such that, given the whole sequence (xn), the random variables (yn) are independent and the conditional distribution of yn only depends on the corresponding state variable xn. The main problems raised by these observations are the prediction and filtering of (xn). We introduce sufficient conditions allowing to obtain computable filters using mixtures of distributions. The filter system may be finite or infinite dimensional. The method is applied to the case where the signal xn = Xn is a discrete sampling of a one dimensional diffusion process: Concrete models are proved to fit in our conditions. Moreover, for these models, exact likelihood inference based on the observation (y0,...,yn) is feasable.

Full work available at URL: https://arxiv.org/abs/math/0505153

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zbMATH Keywords

hidden Markov modelsdiffusion processesstochastic filteringdiscrete time observationsprior and posterior distributions

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Bayesian problems; characterization of Bayes procedures (62C10)

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Cited In (17)

• Adaptive estimation of the transition density of a particular hidden Markov chain
• Nonparametric drift estimation for i.i.d. paths of stochastic differential equations
• Least squares type estimation of the transition density of a particular hidden Markov chain
• Adaptive estimation of linear functionals in the convolution model and applications
• Exact inference for a class of hidden Markov models on general state spaces
• Multiplicative Kalman filtering
• A Class of Non-Gaussian State Space Models With Exact Likelihood Inference
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• Approximate filtering via discrete dual processes
• Optimal filtering and the dual process
• Nonparametric estimation of the stationary density and the transition density of a Markov chain
• Filtering the Wright-Fisher diffusion
• Filtering coupled Wright-Fisher diffusions
• Filters, mollifiers and the computation of the Gibbs phenomenon
• Random scale perturbation of an AR(1)-process and its properties as a non linear explicit filter
• Smoothing distributions for conditional Fleming-Viot and Dawson-Watanabe diffusions
• Sobolev-Hermite versus Sobolev nonparametric density estimation on \(\mathbb{R}\)

Uses Software

• astsa

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