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Volumn 77, Issue 1, 1998, Pages 69-81

Finite dimensional filters for nonlinear stochastic difference equations with multiplicative noises

Author keywords

60G35; 93E11; Finite dimensional filters; Stochastic filtering

Indexed keywords


EID: 0009184265     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4149(98)00037-4     Document Type: Article
Times cited : (15)

References (13)
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    • Barndorff-Nielsen, O.1
  • 2
    • 0019660565 scopus 로고
    • Exact finite dimensional filters for certain diffusions with nonlinear drift
    • Beneš V.E. Exact finite dimensional filters for certain diffusions with nonlinear drift. Stochastics. 5:1981;65-92.
    • (1981) Stochastics , vol.5 , pp. 65-92
    • Beneš, V.E.1
  • 3
    • 0025211516 scopus 로고
    • On necessary conditions for the existence of finite-dimensional filters in discrete-time
    • Ferrante M., Runggaldier W.J. On necessary conditions for the existence of finite-dimensional filters in discrete-time. Systems Control Lett. 14:1990;63-69.
    • (1990) Systems Control Lett. , vol.14 , pp. 63-69
    • Ferrante, M.1    Runggaldier, W.J.2
  • 4
    • 85033873652 scopus 로고
    • Finite dimensional filters for a discrete-time nonlinear system with generalized gaussian white noise
    • Ferrante M., Giummolè F. Finite dimensional filters for a discrete-time nonlinear system with generalized gaussian white noise. Stochastics Stochastics Rep. 53:1995;195-211.
    • (1995) Stochastics Stochastics Rep. , vol.53 , pp. 195-211
    • Ferrante, M.1    Giummolè, F.2
  • 6
    • 0000619830 scopus 로고
    • Some properties of Beta and Gamma distribution
    • Jambunathan M.V. Some properties of Beta and Gamma distribution. Ann. Math. Statist. 25:1954;401-405.
    • (1954) Ann. Math. Statist. , vol.25 , pp. 401-405
    • Jambunathan, M.V.1
  • 8
    • 0002176027 scopus 로고
    • Exact finite-dimensional filters for a class of nonlinear discrete-time systems
    • Levine J., Pignie G. Exact finite-dimensional filters for a class of nonlinear discrete-time systems. Stochastics. 18:1986;97-132.
    • (1986) Stochastics , vol.18 , pp. 97-132
    • Levine, J.1    Pignie, G.2
  • 9
    • 38149144735 scopus 로고
    • Local scale models: State space alternative to integrated GARCH processes
    • Shephard, N., 1994. Local scale models: state space alternative to integrated GARCH processes. J. Econometrics 60, 181-202.
    • (1994) J. Econometrics , vol.60 , pp. 181-202
    • Shephard, N.1
  • 10
    • 84961979835 scopus 로고    scopus 로고
    • Statistical aspects of ARCH and stochastic volatility
    • In: Cox, D.R., Hinkley, D.V., Barndorff-Nielsen O.E. (Eds.) Chapman & Hall, London
    • Shephard, N., 1996. Statistical aspects of ARCH and stochastic volatility. In: Cox, D.R., Hinkley, D.V., Barndorff-Nielsen O.E. (Eds.), Likelihood, Time Series Models - In Econometric Finance and Other Fields. Chapman & Hall, London.
    • (1996) Likelihood, Time Series Models - In Econometric Finance and Other Fields
    • Shephard, N.1
  • 11
    • 0002612014 scopus 로고
    • A non-Gaussian state space model and application to prediction of records
    • Smith R.L., Miller J.E. A non-Gaussian state space model and application to prediction of records. J. Roy. Statist. Soc. Ser. B. 48:1986;79-88.
    • (1986) J. Roy. Statist. Soc. Ser. B , vol.48 , pp. 79-88
    • Smith, R.L.1    Miller, J.E.2
  • 13
    • 85033897695 scopus 로고    scopus 로고
    • Exponential family state space models based on a conjugate latent process
    • to appear
    • Vidoni, P., 1998. Exponential family state space models based on a conjugate latent process. J. Roy. Statist. Soc. Ser. B, to appear.
    • (1998) J. Roy. Statist. Soc. Ser. B
    • Vidoni, P.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.