×

zbMATH — the first resource for mathematics

Filtering and parameter estimation for a jump stochastic process with discrete observations. (English) Zbl 1231.62171
Summary: A compound Poisson process is considered. We estimate the current position of the stochastic process based on past discrete-time observations (nonlinear discrete filtering problem) in a Bayesian setting. We obtain bounds for the asymptotic rate of the expected squared error of the filter when observations become frequent. The bounds depend linearly on jump intensity. Also, estimation of the process parameters is addressed.
MSC:
62M20 Inference from stochastic processes and prediction
62M09 Non-Markovian processes: estimation
PDF BibTeX XML Cite
Full Text: DOI EMIS EuDML