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Filtering and parameter estimation for a jump stochastic process with discrete observations

Dublin Core		PKP Metadata Items	Metadata for this Document
1.	Title	Title of document	Filtering and parameter estimation for a jump stochastic process with discrete observations
2.	Creator	Author's name, affiliation, country	Oleg V Makhnin; New Mexico Tech
3.	Subject	Discipline(s)
3.	Subject	Keyword(s)
4.	Description	Abstract	A compound Poisson process is considered. We estimate the current position of the stochastic process based on past discrete-time observations (non-linear discrete filtering problem) in Bayesian setting. We obtain bounds for the asymptotic rate of the expected square error of the filter when observations become frequent. The bounds depend linearly on jump intensity. Also, estimation of process' parameters is addressed.
5.	Publisher	Organizing agency, location
6.	Contributor	Sponsor(s)
7.	Date	(YYYY-MM-DD)	2008-04-27
8.	Type	Status & genre	Peer-reviewed Article
8.	Type	Type
9.	Format	File format	PDF
10.	Identifier	Uniform Resource Identifier	http://ecp.ejpecp.org/article/view/1363
10.	Identifier	Digital Object Identifier	10.1214/ECP.v13-1363
11.	Source	Journal/conference title; vol., no. (year)	Electronic Communications in Probability; Vol 13
12.	Language	English=en
14.	Coverage	Geo-spatial location, chronological period, research sample (gender, age, etc.)
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