Filtering with a limiter

R. Liptser and P. Muzhikanov

International Journal of Stochastic Analysis, 1998, vol. 11, 1-12

Abstract:

We consider a filtering problem for a Gaussian diffusion process observed via discrete-time samples corrupted by a non-Gaussian white noise. Combining the Goggin's result [2] on weak convergence for conditional expectation with diffusion approximation when a sampling step goes to zero we construct an asymptotic optimal filter. Our filter uses centered observations passed through a limiter. Being asymptotically equivalent to a similar filter without centering, it yields a better filtering accuracy in a prelimit case.

Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:517856

DOI: 10.1155/S1048953398000240

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