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Volumn 10, Issue 4, 2004, Pages 701-720

Random scale perturbation of an AR(1) process and its properties as a nonlinear explicit filter

Author keywords

Discrete time observations; Filtering; Hidden Markov models; Multiplicative noise; Stability of the filtering algorithm

Indexed keywords


EID: 30344458333     PISSN: 13507265     EISSN: None     Source Type: Journal    
DOI: 10.3150/bj/1093265637     Document Type: Article
Times cited : (9)

References (7)
  • 1
    • 0027626240 scopus 로고
    • Kalman filtering with random coefficients and contractions
    • Bougerol, P. (1993) Kalman filtering with random coefficients and contractions. SIAM. J. Control Optim., 31, 942-959.
    • (1993) SIAM. J. Control Optim. , vol.31 , pp. 942-959
    • Bougerol, P.1
  • 2
    • 0041332886 scopus 로고    scopus 로고
    • On the stability of interacting processes with applications to filtering and genetic algorithms
    • Del Moral, P. and Guionnet, A. (2001) On the stability of interacting processes with applications to filtering and genetic algorithms. Ann. Inst. H. Poincaré Probab. Statist., 37(2), 155-194.
    • (2001) Ann. Inst. H. Poincaré Probab. Statist. , vol.37 , Issue.2 , pp. 155-194
    • Del Moral, P.1    Guionnet, A.2
  • 4
    • 0037438001 scopus 로고    scopus 로고
    • A non-linear explicity filter
    • Genon-Catalot, V. (2003) A non-linear explicity filter. Statist. Probab. Lett., 61, 145-154.
    • (2003) Statist. Probab. Lett. , vol.61 , pp. 145-154
    • Genon-Catalot, V.1
  • 5
    • 0012945490 scopus 로고    scopus 로고
    • Sufficient conditions for finite dimensionality for filters in discrete time: A Laplace transform-based approach
    • Runggaldier, W.J. and Spizzichino, F. (2001) Sufficient conditions for finite dimensionality for filters in discrete time: a Laplace transform-based approach. Bernoulli, 7, 211-221.
    • (2001) Bernoulli , vol.7 , pp. 211-221
    • Runggaldier, W.J.1    Spizzichino, F.2
  • 6
    • 0019696829 scopus 로고
    • Finite-dimensional filters in discrete time
    • Sawitzki, G. (1981) Finite-dimensional filters in discrete time. Stochastics 5, 107-114.
    • (1981) Stochastics , vol.5 , pp. 107-114
    • Sawitzki, G.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.