Exact filters for doubly stochastic AR models with conditionally Poisson observations
نویسندگان
چکیده
In this paper the authors derive exact filters for the state of a doubly stochastic auto-regressive (AR) process with parameters which vary according to a nonlinear function of a Gauss–Markov process. The observations consist of a discrete-time Poisson process with rate a positive function of the Gauss–Markov process. The dimension of the sufficient statistic increases linearly with the number of observed events.
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عنوان ژورنال:
- IEEE Trans. Automat. Contr.
دوره 44 شماره
صفحات -
تاریخ انتشار 1999