Sequential parameter estimation and filtration of stochastic processes

MaRDI QIDQ789854zbMATH OpenFDO

Authors Alexander G. Tartakovsky

Publication date 1983

Published in Problems of Information Transmission (Search for Journal in Brave)

zbMATH Keywords

exponential distributionfiltration

Mathematics Subject Classification ID

Bayesian inference (62F15) Sequential estimation (62L12) Optimal stopping in statistics (62L15) Non-Markovian processes: estimation (62M09)

Review text

Translation from Probl. Peredachi Inf. 18, No.4, 54-66 (Russian) (1982; Zbl 0509.62071).

Cited in

(6)

• Joint filtering of components of random sequences
• Stochastic filters and generation of stochastic processes
• Filtered statistical models and Hellinger processes
• Discrete Prolate Spheroidal Sequences as Filters in Generalized Additive Models
• Sequential Estimation of Hidden ARMA Processes by Particle Filtering—Part II
• Sequential parameter learning and filtering in structured autoregressive state-space models

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