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| 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 |