Let (X-t, Y-t) be a pure jump Markov process: the state X-t takes real values and the observation Y-t is a counting process. The two processes are allowed to have common jump times. Let phi (X((.))) be a functional of the state trajectory restricted to the time interval [0, T]. If we change the infinitesimal parameters and/or the initial distribution, then we introduce an error in computing the conditional law of phi (X((.))) given the observation up to time T. In this paper we give an explicit L-1-bound for this error.

Calzolari, A., Nappo, G. (2001). Counting observations: A note on state estimation sensitivity with an L1-bound. APPLIED MATHEMATICS AND OPTIMIZATION, 44(2), 177-201 [10.1007/s00245-001-0018-6].

Counting observations: A note on state estimation sensitivity with an L1-bound

CALZOLARI, ANTONELLA;
2001-06-01

Abstract

Let (X-t, Y-t) be a pure jump Markov process: the state X-t takes real values and the observation Y-t is a counting process. The two processes are allowed to have common jump times. Let phi (X((.))) be a functional of the state trajectory restricted to the time interval [0, T]. If we change the infinitesimal parameters and/or the initial distribution, then we introduce an error in computing the conditional law of phi (X((.))) given the observation up to time T. In this paper we give an explicit L-1-bound for this error.
Pubblicato
Rilevanza internazionale
Articolo
Sì, ma tipo non specificato
Settore MAT/06 - Probabilita' e Statistica Matematica
English
Con Impact Factor ISI
Jump processes;Counting processes; Coupling; Robustness; Filtering; Smoothing
Calzolari, A., Nappo, G. (2001). Counting observations: A note on state estimation sensitivity with an L1-bound. APPLIED MATHEMATICS AND OPTIMIZATION, 44(2), 177-201 [10.1007/s00245-001-0018-6].
Calzolari, A; Nappo, G
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2108/41228
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