The discrete-time filtering problem can be seen as a dynamic generalization of the classical Bayesian inference problem. For practical applications it is important to identify filtering models that, analogously to the linear Gaussian model (Kalman filter), admit a finite-dimensional filter or, equivalently, a finite-dimensional family of filter-conjugate distributions. Our main purpose here is to give sufficient conditions for the existence of finite-dimensional filters. We use a method, based on the Laplace transform, which is also constructive.
Sufficient conditions for finite-dimensionality of filters in discrete-time: a Laplace transform-based approach / W. J., Runngaldier; Spizzichino, Fabio. - In: BERNOULLI. - ISSN 1350-7265. - STAMPA. - 7:(2001), pp. 211-221.
Sufficient conditions for finite-dimensionality of filters in discrete-time: a Laplace transform-based approach.
SPIZZICHINO, Fabio
2001
Abstract
The discrete-time filtering problem can be seen as a dynamic generalization of the classical Bayesian inference problem. For practical applications it is important to identify filtering models that, analogously to the linear Gaussian model (Kalman filter), admit a finite-dimensional filter or, equivalently, a finite-dimensional family of filter-conjugate distributions. Our main purpose here is to give sufficient conditions for the existence of finite-dimensional filters. We use a method, based on the Laplace transform, which is also constructive.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.