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Parameter estimation and asymptotic stability in stochastic filtering
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Papavasiliou, Anastasia (2006) Parameter estimation and asymptotic stability in stochastic filtering. STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 116 (7). pp. 1048-1065. doi:10.1016/j.spa.2006.01.002 ISSN 0304-4149.
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Official URL: http://dx.doi.org/10.1016/j.spa.2006.01.002
Abstract
In this paper, we study the problem of estimating a Markov chain X (signal) from its noisy partial information Y, when the transition probability kernel depends on some unknown parameters; Our goal is to compute the conditional distribution process P{X-n \ Y-n,..., Y-1}, referred to hereafter as the optimal filter. Following a standard Bayesian technique, we treat the parameters as a non-dynamic component of the Markov chain. As a result, the new Markov chain is not going to be mixing, even if the original one is. We show that, under certain conditions, the optimal filters are still going to be asymptotically stable with respect to the initial conditions. Thus, by computing the optimal filter of the new system, we can estimate the signal adaptively. (C) 2006 Elsevier B.V. All rights reserved.
Item Type: | Journal Article | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Journal or Publication Title: | STOCHASTIC PROCESSES AND THEIR APPLICATIONS | ||||
Publisher: | ELSEVIER SCIENCE BV | ||||
ISSN: | 0304-4149 | ||||
Official Date: | July 2006 | ||||
Dates: |
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Volume: | 116 | ||||
Number: | 7 | ||||
Number of Pages: | 18 | ||||
Page Range: | pp. 1048-1065 | ||||
DOI: | 10.1016/j.spa.2006.01.002 | ||||
Publication Status: | Published |
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