A non-linear explicit filter

Valentine Genon-Catalot

Statistics & Probability Letters, 2003, vol. 61, issue 2, 145-154

Abstract: We propose a non-linear model of filtering in discrete time. The signal is linear but noises are multiplicative and non-Gaussian. We exhibit a class of distributions including the standard centered Gaussian which is closed for the filtering algorithm.

Keywords: Filtering; Discrete; time; observations; Hidden; Markov; models; Prior; and; posterior; distributions (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (5)

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