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APPROXIMATE FILTERING OF PARAMETER DRIVEN PROCESSES
Author(s) -
Azzalini A.
Publication year - 1982
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1982.tb00344.x
Subject(s) - mathematics , value (mathematics) , distribution (mathematics) , current (fluid) , statistics , statistical physics , mathematical analysis , electrical engineering , engineering , physics
. A stationary stochastic process {θ,} is of interest but cannot be observed directly. Instead, at time t , we observe y , which is sampled from a distribution determined by the value of θ t , say f (y∥θ,). A method for estimating the current value of {θ,} is described.