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A criterion for filtering in semimartingale models

Author

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  • Thavaneswaran, A.
  • Thompson, M. E.

Abstract

Recently there has been a growing interest in the problems of inference for stochastic processes when the underlying distribution is not specified in terms of a parametric family. Godambe's (1985) approach is here employed to obtain estimates for random signals for a continuous semimartingale model. The method, which avoids specification of the underlying distribution, leads to estimation for nonconjugate prior situations which is computationally attractive as well as optimal in a restricted sense. A number of techniques in the recent literature are special cases.

Suggested Citation

  • Thavaneswaran, A. & Thompson, M. E., 1988. "A criterion for filtering in semimartingale models," Stochastic Processes and their Applications, Elsevier, vol. 28(2), pages 259-265, June.
    • Handle: RePEc:eee:spapps:v:28:y:1988:i:2:p:259-265
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    Cited by:

    1. A. Thavaneswaran & B. Abraham, 1994. "A note on Model Reference Adaptive System (MRAS) estimate with infinite variance," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 48(3), pages 253-257, November.

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