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Exact filtering in exponential families: Discrete time

  • Günther Sawitzki
Part II: Research Reports
Part of the Lecture Notes in Control and Information Sciences book series (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

  1. Barndorff-Nielsen, O.: Information and exponential families in statistical theory. Wiley, New York 1978Google Scholar
  2. Grigelionis, B.: Sufficiency in the optimal stopping problems. Lietovskii Matehm. Sbornik 9(1969) 471–480Google Scholar
  3. Koopman, B.O.: On distributions admitting a sufficient statistic. Trans AMS 39(1936) 399–409Google Scholar

Copyright information

© Springer-Verlag 1979

Authors and Affiliations

  • Günther Sawitzki
    • 1
  1. 1.Institut für MathematikRuhr-UniversitätBochum

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