A non-linear explicit filter

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.

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Year of publication:	2003
Authors:	Genon-Catalot, Valentine
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 61.2003, 2, p. 145-154
Publisher:	Elsevier
Keywords:	Filtering Discrete time observations Hidden Markov models Prior and posterior distributions

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005319642