Title :
A jump process filter
Author :
Elliott, Robert J. ; Aggoun, Lakhdar
Author_Institution :
Dept. of Stat. & Appl. Probability, Alberta Univ., Edmonton, Alta., Canada
Abstract :
Using a change of measure a filtering problem is discussed where both the signal and observation processes are diffusions with jumps
Keywords :
filtering theory; diffusions; filtering problem; jump process filter; observation processes; signal processes; Discrete wavelet transforms; Equations; Filtering; Filters; Filtration; Probability; Q measurement; Signal processing; Statistics; Stochastic processes;
Conference_Titel :
Signals, Systems and Computers, 1993. 1993 Conference Record of The Twenty-Seventh Asilomar Conference on
Conference_Location :
Pacific Grove, CA
Print_ISBN :
0-8186-4120-7
DOI :
10.1109/ACSSC.1993.342606
