Exact filters for doubly stochastic AR models with conditionally Poisson observations

Evans J.; Krishnamurthy V.

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Exact filters for doubly stochastic AR models with conditionally Poisson observations

机译：带有条件Poisson观测值的双随机AR模型的精确滤波器

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The authors derive exact filters for the state of a doubly stochastic auto-regressive (AR) process with parameters which vary according to a nonlinear function of a Gauss-Markov process. The observations consist of a discrete-time Poisson process with rate a positive function of the Gauss-Markov process. The dimension of the sufficient statistic increases linearly with the number of observed events.

机译：作者推导了用于双随机自回归（AR）过程状态的精确滤波器，其参数根据高斯-马尔可夫过程的非线性函数而变化。观测值包括一个离散时间的Poisson过程，其速度与高斯-马尔可夫过程的正函数有关。足够的统计量随观察到的事件数量线性增加。

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《IEEE Transactions on Automatic Control》 |1999年第4期|P.794-798|共5页
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Evans J.; Krishnamurthy V.;
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1. Exact filters for doubly stochastic AR models with conditionallyPoisson observations [J] . Evans J., Krishnamurthy V. IEEE Transactions on Automatic Control . 1999,第4期

机译：具有条件Poisson观测值的双随机AR模型的精确滤波器
2. DISCRETE TIME FILTERS FOR DOUBLY STOCHASTIC POISSON PROCESSES AND OTHER EXPONENTIAL NOISE MODELS [J] . JONATHAN H. MANTON, VIKRAM KRISHNAMURTHY, ROBERT J. ELLIOTT International Journal of Adaptive Control and Signal Processing . 1999,第5期

机译：双随机泊松过程和其他指数噪声模型的离散时间滤波器
3. Conditional, Non-Homogeneous and Doubly Stochastic Compound Poisson Processes with Stochastic Discounted Claims [J] . Leveille Ghislain, Hamel Emmanuel Methodology and computing in applied probability . 2018,第1期

机译：具有随机折扣索赔的条件，非均相和双随机复合泊松过程
4. Robust detection filters for jump Markov systems with doubly stochastic Poisson process models [C] . Malcolm W.P., Elliott R.J. Information, Decision and Control, 2002. Final Program and Abstracts . 2002

机译：具有双重随机Poisson过程模型的跳跃Markov系统的鲁棒检测滤波器
5. Nonparametric studies of doubly stochastic Poisson processes, binomial data, and high dimension, low sample size data. [D] . Zhang, Tingting. 2008

机译：双随机Poisson过程，二项式数据以及高维，低样本量数据的非参数研究。
6. Nonparametric Inference of Doubly Stochastic Poisson Process Data via the Kernel Method [O] . Tingting Zhang, S. C. Kou -1

机译：通过内核方法非参数推断双随机泊松过程数据
7. Generalized Interference Models in Doubly Stochastic Poisson Random Fields for Wideband Communications: the PNSC(alpha) model [O] . Peters, Gareth W., Nevat, Ido, Septier, Francois, 2012

机译：双随机泊松随机变量的广义干涉模型宽带通信领域：pNsC（alpha）模型

Exact filters for doubly stochastic AR models with conditionally Poisson observations

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