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Stochastic Control Theory and Stochastic Differential Systems pp 554–558Cite as

Exact filtering in exponential families: Discrete time

  • Part II: Research Reports
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Part of the book series: Lecture Notes in Control and Information Sciences ((LNCIS,volume 16))

Abstract

For partially observable processes (ξt, ηt) with conditional distributions within fixed (parametrized) exponential families for all times t, the parameters of the a-posteriori distributions ξtP(|η1,...,ηt) (ω) can be calculated by a recursive algorithm. A method to find the algorithm in this situation is given.

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References

  • Barndorff-Nielsen, O.: Information and exponential families in statistical theory. Wiley, New York 1978

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  • Grigelionis, B.: Sufficiency in the optimal stopping problems. Lietovskii Matehm. Sbornik 9(1969) 471–480

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  • Koopman, B.O.: On distributions admitting a sufficient statistic. Trans AMS 39(1936) 399–409

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Author information

Authors and Affiliations

  1. Institut für Mathematik, Ruhr-Universität, D-4630, Bochum

    Günther Sawitzki

Authors
  1. Günther Sawitzki
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Editor information

M. Kohlmann W. Vogel

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© 1979 Springer-Verlag

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Sawitzki, G. (1979). Exact filtering in exponential families: Discrete time. In: Kohlmann, M., Vogel, W. (eds) Stochastic Control Theory and Stochastic Differential Systems. Lecture Notes in Control and Information Sciences, vol 16. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0009413

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  • DOI: https://doi.org/10.1007/BFb0009413

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-09480-7

  • Online ISBN: 978-3-540-35211-2

  • eBook Packages: Springer Book Archive

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