Abstract. 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 θt, say f(y∥θ,). A method for estimating the current value of {θ,} is described. Copyright © 1982, Wiley Blackwell. All rights reserved
Approximate filtering of parameter driven processes'
AZZALINI, ADELCHI
1982
Abstract
Abstract. 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 θt, say f(y∥θ,). A method for estimating the current value of {θ,} is described. Copyright © 1982, Wiley Blackwell. All rights reserved
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