Computable infinite-dimensional filters with applications to discretized diffusion processes

DOI10.1016/J.SPA.2006.03.004MaRDI QIDQ855688zbMATH OpenOpenAlexFDO

Authors Mireille Chaleyat-Maurel, V. Genon-Catalot

Publication date 7 December 2006

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

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

zbMATH Keywords

diffusion processesdiscrete time observationshidden Markov modelsprior and posterior distributionsstochastic filtering

Mathematics Subject Classification ID

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

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.

Review text

The authors provide non-trivial examples of nonlinear models where the filtering steps can be explicitly described. The signal may or may not be stationary. Let one consider a pair signal-observation \((x_n, y_n) (n\geq 0)\), where the unobserved signal \((x_n)\) is a Markov chain and the observed component is such that, given the whole sequence \((x_n)\), the random variables \((y_n)\) are independent and the conditional distribution of \(y_n\) only depends on the corresponding state variable \(x_n\). This is a classical setting in the field of nonlinear filtering and the process \((y_n)\) is often called a hidden Markov model. In this context, a central problem that has been the subject of a huge number of contributions is the study of the exact filter, i.e. the sequence of conditional distributions of \(x_n\) given \(y_n, y_1, y_0, n\geq 0\). The filter system is not finite-dimensional. Nevertheless, optimal and prediction filters are specified by a finite number of parameters so they are computable. Their main example (Section 3) is interesting for modeling purposes in the field of finance and especially for stochastic volatility models. Other fields of applications of scale perturbation models remain to be investigated. Numerical simulation results has been done for the model corresponding to a one-dimensional radial Ornstein-Uhlenbeck process. The above results may be extended to the case of a non-time-homogeneous signal.

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Cited in

(17)

• Sobolev-Hermite versus Sobolev nonparametric density estimation on \(\mathbb{R}\)
• Multiplicative Kalman filtering
• Random scale perturbation of an AR(1)-process and its properties as a non linear explicit filter
• Nonparametric drift estimation for i.i.d. paths of stochastic differential equations
• Exact inference for a class of hidden Markov models on general state spaces
• Least squares type estimation of the transition density of a particular hidden Markov chain
• Nonparametric estimation of the stationary density and the transition density of a Markov chain
• Adaptive estimation of the transition density of a particular hidden Markov chain
• Smoothing distributions for conditional Fleming-Viot and Dawson-Watanabe diffusions
• scientific article; zbMATH DE number 3952633 (Why is no real title available?)
• Optimal filtering and the dual process
• Filters, mollifiers and the computation of the Gibbs phenomenon
• Filtering the Wright-Fisher diffusion
• Adaptive estimation of linear functionals in the convolution model and applications
• Approximate filtering via discrete dual processes
• A Class of Non-Gaussian State Space Models With Exact Likelihood Inference
• Filtering coupled Wright-Fisher diffusions

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