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2008 Filtering and parameter estimation for a jump stochastic process with discrete observations
Oleg Makhnin
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Electron. Commun. Probab. 13: 210-224 (2008). DOI: 10.1214/ECP.v13-1363

Abstract

A compound Poisson process is considered. We estimate the current position of the stochastic process based on past discrete-time observations (non-linear discrete filtering problem) in Bayesian setting. We obtain bounds for the asymptotic rate of the expected square error of the filter when observations become frequent. The bounds depend linearly on jump intensity. Also, estimation of process' parameters is addressed.

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Oleg Makhnin. "Filtering and parameter estimation for a jump stochastic process with discrete observations." Electron. Commun. Probab. 13 210 - 224, 2008. https://doi.org/10.1214/ECP.v13-1363

Information

Accepted: 27 April 2008; Published: 2008
First available in Project Euclid: 6 June 2016

zbMATH: 1231.62171
MathSciNet: MR2399283
Digital Object Identifier: 10.1214/ECP.v13-1363

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