Particle filters for partially observed diffusions
Particle filters for partially observed diffusions
About this item
Full title
Author / Creator
Publisher
Oxford, UK: Blackwell Publishing Ltd
Journal title
Language
English
Formats
Publication information
Publisher
Oxford, UK: Blackwell Publishing Ltd
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More information
Scope and Contents
Contents
We introduce a novel particle filter scheme for a class of partially observed multivariate diffusions. We consider a variety of observation schemes, including diffusion observed with error, observation of a subset of the components of the multivariate diffusion and arrival times of a Poisson process whose intensity is a known function of the diffus...
Alternative Titles
Full title
Particle filters for partially observed diffusions
Authors, Artists and Contributors
Author / Creator
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Primary Identifiers
Record Identifier
TN_cdi_proquest_miscellaneous_47701694
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_miscellaneous_47701694
Other Identifiers
ISSN
1369-7412
E-ISSN
1467-9868
DOI
10.1111/j.1467-9868.2008.00661.x
