Parameter estimation and asymptotic stability in stochastic filtering
نویسندگان
چکیده
منابع مشابه
Parameter estimation and asymptotic stability in stochastic filtering
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{Xn|Yn, . . . , Y1}, referred to hereafter as the optimal filter. Following a standard Bayesian technique, we treat the parameters as a nondynamic ...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2006
ISSN: 0304-4149
DOI: 10.1016/j.spa.2006.01.002