The Monte-Carlo method for filtering with discrete-time observations

被引：75

作者：

Del Moral, P

Jacod, J

Protter, P

机构：

[1] Univ Toulouse 3, LSP, CNRS, UMR C5583, F-31062 Toulouse, France

[2] Univ Paris 06, Lab Probabil & Modeles Aleatoires, CNRS, UMR 7599, F-75252 Paris, France

[3] Cornell Univ, ORIE, Ithaca, NY 14853 USA

[4] Purdue Univ, Dept Math, W Lafayette, IN 47907 USA

[5] Purdue Univ, Dept Stat, W Lafayette, IN 47907 USA

来源：

关键词：

filtering; signal detection; Monte Carlo;

D O I：

10.1007/PL00008786

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

[No abstract available]

引用

页码：346 / 368

页数：23

共 6 条

[1] Exponential stability for nonlinear filtering [J].

Atar, R ;

Zeitouni, O .

ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES, 1997, 33 (06) :697-725

Bally, V ;

Talay, D .

[3]

Bally V., 1996, Monte Carlo Methods Appl, V2, P93, DOI DOI 10.1515/MCMA.1996.2.2.93

Budhiraja, A ;

Ocone, D .

[5]

KURTZ T. G., 1991, STOCHASTIC ANAL, P331

[6]

Ledoux M., 1991, Probability in Banach Spaces: Isoperimetry and Processes, V23