Doubly stochastic Poisson process models for precipitation at fine time-scales

Discrete time filters for doubly stochas

Discrete time filters for doubly stochastic poisson processes and other exponential noise models

✍ Jonathan H. Manton; Vikram Krishnamurthy; Robert J. Elliott 📂 Article 📅 1999 🏛 John Wiley and Sons 🌐 English ⚖ 189 KB 👁 2 views

The well-known Kalman ÿlter is the optimal ÿlter for a linear Gaussian state-space model. Furthermore, the Kalman ÿlter is one of the few known ÿnite-dimensional ÿlters. In search of other discrete-time ÿnitedimensional ÿlters, this paper derives ÿlters for general linear exponential state-space mod