A Bayes Formula for Nonlinear Filtering with Gaussian and Cox Noise
Joint Authors
Meyer-Brandis, Thilo
Mandrekar, Vidyadhar
Proske, Frank
Source
Journal of Probability and Statistics
Issue
Vol. 2011, Issue 2011 (31 Dec. 2011), pp.1-15, 15 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2011-11-03
Country of Publication
Egypt
No. of Pages
15
Main Subjects
Abstract EN
A Bayes-type formula is derived for the nonlinear filter where the observation contains both general Gaussian noise as well as Cox noise whose jump intensity depends on the signal.
This formula extends the well-known Kallianpur-Striebel formula in the classical non-linear filter setting.
We also discuss Zakai-type equations for both the unnormalized conditional distribution as well as unnormalized conditional density in case the signal is a Markovian jump diffusion.
American Psychological Association (APA)
Mandrekar, Vidyadhar& Meyer-Brandis, Thilo& Proske, Frank. 2011. A Bayes Formula for Nonlinear Filtering with Gaussian and Cox Noise. Journal of Probability and Statistics،Vol. 2011, no. 2011, pp.1-15.
https://search.emarefa.net/detail/BIM-458146
Modern Language Association (MLA)
Mandrekar, Vidyadhar…[et al.]. A Bayes Formula for Nonlinear Filtering with Gaussian and Cox Noise. Journal of Probability and Statistics No. 2011 (2011), pp.1-15.
https://search.emarefa.net/detail/BIM-458146
American Medical Association (AMA)
Mandrekar, Vidyadhar& Meyer-Brandis, Thilo& Proske, Frank. A Bayes Formula for Nonlinear Filtering with Gaussian and Cox Noise. Journal of Probability and Statistics. 2011. Vol. 2011, no. 2011, pp.1-15.
https://search.emarefa.net/detail/BIM-458146
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-458146
