A criterion for filtering in semimartingale models

A. Thavaneswaran and M. E. Thompson

Stochastic Processes and their Applications, 1988, vol. 28, issue 2, 259-265

Abstract: Recently there has been a growing interest in the problems of inference for stochastic processes when the underlying distribution is not specified in terms of a parametric family. Godambe's (1985) approach is here employed to obtain estimates for random signals for a continuous semimartingale model. The method, which avoids specification of the underlying distribution, leads to estimation for nonconjugate prior situations which is computationally attractive as well as optimal in a restricted sense. A number of techniques in the recent literature are special cases.

Keywords: estimating; functions; Ito's; differential; rule (search for similar items in EconPapers)
Date: 1988
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