摘要:

We obtain a necessary and sufficient condition for the existence of finite dimensional filters for the class of nonlinear discrete-time systems without dynamical noise. This condition is used to obtain an explicit formula of the minimal filter, as well as various system theoretic properties of the system and of its filter. These results are applied to a tracking problem for a moving target.

ISSN:0090-9491    

DOI:10.1080/17442508608833404

出版商:Gordon and Breach, Science Publishers, Inc    

年代:1986

数据来源: Taylor

摘要:

This paper establishes several properties of sequential plans proposed earlier by the same authors for estimation of parameters of random processes described by stochastic difference equations. Upper and lower bounds for mean time of sequential estimation are obtained. The asymptotic normality of the stopping time is shown in the case of autoregressive models.

ISSN:0090-9491    

DOI:10.1080/17442508608833405

出版商:Gordon and Breach, Science Publishers, Inc    

年代:1986

数据来源: Taylor

摘要:

On introduit l'espace de Banach des processus de Dirichlet (forts et faibles), on montre la stabilité de cet espace par une transformation de classe C$sub:1$esub: et on etudie f(B) pour B mouvement Brownien réel et / dans Jf1(R)

ISSN:0090-9491    

DOI:10.1080/17442508608833406

出版商:Gordon and Breach, Science Publishers, Inc    

年代:1986

数据来源: Taylor

摘要:

Consider Xta transient diffusion on R with small known variance σ and unknown drift function µ(.). The record processis partially observed up to the hitting time T$sub:ⱥ$esub: of a given level ⱥ>x = X$sub:0$esub: Under suitable assumptions on µ, we study the statistical model corresponding to this observation. The likelihood function being in most cases unknown, we construct a non-parametric estimator of the drift coefficient pi µ(.) and study its asymptotic properties as σgoes to 0.

ISSN:0090-9491    

DOI:10.1080/17442508608833407

出版商:Gordon and Breach, Science Publishers, Inc    

年代:1986

数据来源: Taylor

ISSN:0090-9491    

DOI:10.1080/17442508608833403

出版商:Gordon and Breach Science Publishers    

年代:1986

数据来源: Taylor