Title | Finite dimensional filters for random parameter AR models |
Publication Type | Conference Paper |
Year of Publication | 1997 |
Authors | Evans, J., and V. Krishnamurthy |
Conference Name | American Control Conference, 1997. Proceedings of the 1997 |
Pagination | 2836 -2840 vol.5 |
Date Published | jun. |
Keywords | autoregressive models, autoregressive processes, difference equation, difference equations, discrete-time Kalman filter, filtering theory, finite dimensional filters, Gauss-Markov process, Kalman filters, probability, stochastic AR models, stochastic processes, unnormalized conditional density |
Abstract | In this paper exact finite dimensional filters are derived for a class of doubly stochastic autoregressive models. The parameters of the doubly stochastic autoregressive process vary according to a nonlinear function of a Gauss-Markov process. We develop a difference equation for the evolution of an unnormalized conditional density related to the state of the doubly stochastic autoregressive process. We then give a characterization of the general solution followed by examples for which the state of the filter is determined by a finite number of sufficient statistics. These new finite dimensional filters are built upon the discrete-time Kalman filter |
URL | http://dx.doi.org/10.1109/ACC.1997.611973 |
DOI | 10.1109/ACC.1997.611973 |