Sequential Monte Carlo methods for filtering of unobservable components of multidimensional diffusion Markov processes
The problem of filtering of unobservable components x(t) of a multidimensional continuous diffusion Markov process $ z\left( t \right) = \left( {x\left( t \right),y\left( t \right)} \right) $, given the observations of the (multidimensional) process y(t) taken at discrete consecutive times with smal...
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| Format: | Article |
| Language: | English |
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Taylor & Francis Group
2016-12-01
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| Series: | Cogent Mathematics |
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| Online Access: | http://dx.doi.org/10.1080/23311835.2015.1134031 |