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Multiplicative Kalman filtering

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Listed:
  • Fabienne Comte
  • Valentine Genon-Catalot
  • Mathieu Kessler

Abstract

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Suggested Citation

  • Fabienne Comte & Valentine Genon-Catalot & Mathieu Kessler, 2011. "Multiplicative Kalman filtering," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 20(2), pages 389-411, August.
    • Handle: RePEc:spr:testjl:v:20:y:2011:i:2:p:389-411
    DOI: 10.1007/s11749-010-0208-0
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    References listed on IDEAS

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    1. Chaleyat-Maurel, Mireille & Genon-Catalot, Valentine, 2006. "Computable infinite-dimensional filters with applications to discretized diffusion processes," Stochastic Processes and their Applications, Elsevier, vol. 116(10), pages 1447-1467, October.
    2. Genon-Catalot, Valentine, 2003. "A non-linear explicit filter," Statistics & Probability Letters, Elsevier, vol. 61(2), pages 145-154, January.
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    Cited by:

    1. Kon Kam King, Guillaume & Pandolfi, Andrea & Piretto, Marco & Ruggiero, Matteo, 2024. "Approximate filtering via discrete dual processes," Stochastic Processes and their Applications, Elsevier, vol. 168(C).

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