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Suboptimal nonlinear filtering of the rate of an observed point process

✍ Scribed by Y. Yavin

Publisher: Elsevier Science
Year: 1993
Tongue: English
Weight: 466 KB
Volume: 18
Category: Article
ISSN: 0895-7177
DOI: 10.1016/0895-7177(93)90144-n

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✦ Synopsis

Given

a counting process {C(t), t 2 0}, which is a version of a compound Poisson process and such that whenever there is a jump AC in the value of C, then A< = i with probability pi, i E (1,.

, L}. Let Xt = X be the intensity process of the associated Poisson process, where X is a random variable. Denote by B(t) the minimal u-algebra generated by the events {c(t) = i},

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