On the consistent filtering of convergent semimartingales

David Levanony

doi:10.1016/j.spa.2018.03.004

On the consistent filtering of convergent semimartingales

David Levanony

Department of Electrical & Computer Engineering

Research output: Contribution to journal › Article › peer-review

2 Scopus citations

Abstract

The estimation of a class of continuous, convergent semimartingales, observed via a linear sensor is considered. In particular, conditions securing the consistency of the Bayesian estimator are established. These are in the form of a Persistence of Excitation (PE) property. This PE condition is stronger than the one required in the case of the estimation of a constant random vector. It coincides with the latter, when the partially observed semimartingale has a finite quadratic variation over [0,∞]. The paper is concluded with two Systems and Control application examples.

Original language	English
Pages (from-to)	323-335
Number of pages	13
Journal	Stochastic Processes and their Applications
Volume	129
Issue number	1
DOIs	https://doi.org/10.1016/j.spa.2018.03.004
State	Published - 1 Jan 2019

Keywords

Continuous semimartingales
Convergence
Filtering
Persistent excitation

ASJC Scopus subject areas

Statistics and Probability
Modeling and Simulation
Applied Mathematics

Access to Document

10.1016/j.spa.2018.03.004

Cite this

@article{8ad880eed5d0496fb6552551250b81be,

title = "On the consistent filtering of convergent semimartingales",

abstract = "The estimation of a class of continuous, convergent semimartingales, observed via a linear sensor is considered. In particular, conditions securing the consistency of the Bayesian estimator are established. These are in the form of a Persistence of Excitation (PE) property. This PE condition is stronger than the one required in the case of the estimation of a constant random vector. It coincides with the latter, when the partially observed semimartingale has a finite quadratic variation over [0,∞]. The paper is concluded with two Systems and Control application examples.",

keywords = "Continuous semimartingales, Convergence, Filtering, Persistent excitation",

author = "David Levanony",

note = "Publisher Copyright: {\textcopyright} 2018 Elsevier B.V.",

year = "2019",

month = jan,

day = "1",

doi = "10.1016/j.spa.2018.03.004",

language = "English",

volume = "129",

pages = "323--335",

journal = "Stochastic Processes and their Applications",

issn = "0304-4149",

publisher = "Elsevier",

number = "1",

}

TY - JOUR

T1 - On the consistent filtering of convergent semimartingales

AU - Levanony, David

PY - 2019/1/1

Y1 - 2019/1/1

N2 - The estimation of a class of continuous, convergent semimartingales, observed via a linear sensor is considered. In particular, conditions securing the consistency of the Bayesian estimator are established. These are in the form of a Persistence of Excitation (PE) property. This PE condition is stronger than the one required in the case of the estimation of a constant random vector. It coincides with the latter, when the partially observed semimartingale has a finite quadratic variation over [0,∞]. The paper is concluded with two Systems and Control application examples.

AB - The estimation of a class of continuous, convergent semimartingales, observed via a linear sensor is considered. In particular, conditions securing the consistency of the Bayesian estimator are established. These are in the form of a Persistence of Excitation (PE) property. This PE condition is stronger than the one required in the case of the estimation of a constant random vector. It coincides with the latter, when the partially observed semimartingale has a finite quadratic variation over [0,∞]. The paper is concluded with two Systems and Control application examples.

KW - Continuous semimartingales

KW - Convergence

KW - Filtering

KW - Persistent excitation

UR - http://www.scopus.com/inward/record.url?scp=85044334997&partnerID=8YFLogxK

U2 - 10.1016/j.spa.2018.03.004

DO - 10.1016/j.spa.2018.03.004

M3 - Article

AN - SCOPUS:85044334997

SN - 0304-4149

VL - 129

SP - 323

EP - 335

JO - Stochastic Processes and their Applications

JF - Stochastic Processes and their Applications

IS - 1

ER -

On the consistent filtering of convergent semimartingales

Abstract

Keywords

ASJC Scopus subject areas

Access to Document

Other files and links

Fingerprint

Cite this