On the consistent filtering of convergent semimartingales

David Levanony

Stochastic Processes and their Applications, 2019, vol. 129, issue 1, 323-335

Abstract: The estimation of a class of continuous, convergent semimartingales, observed via a linear sensor is considered. In particular, conditions securing the consistency of the Bayesian estimator are established. These are in the form of a Persistence of Excitation (PE) property. This PE condition is stronger than the one required in the case of the estimation of a constant random vector. It coincides with the latter, when the partially observed semimartingale has a finite quadratic variation over [0,∞]. The paper is concluded with two Systems and Control application examples.

Keywords: Continuous semimartingales; Filtering; Convergence; Persistent excitation (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1016/j.spa.2018.03.004

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