On the relationship between assumed density filters and projection filters - Inria - Institut national de recherche en sciences et technologies du numérique
Reports (Research Report) Year : 1996

On the relationship between assumed density filters and projection filters

Abstract

This paper compares the classical concept of assumed density filters (ADF) with a new class of approximate filters, the projection filters (PF). It is shown that the concept of ADF is inconsistent in the sense that the resulting filters vary according to the choice of a stochastic calculus, i.e. Itô or McShane-Fisk-Stratonovich (MFS). The PF are based on the differential geometric approach to statistics and are well defined. It is shown that in the context of the exponential families, the PF coincide with MFS-based ADF. An example is provided, which shows that this does not hold in general, for non-exponential families of densities.
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Dates and versions

hal-00921659 , version 1 (20-12-2013)

Identifiers

  • HAL Id : hal-00921659 , version 1

Cite

Damiano Brigo, Bernard Hanzon, François Le Gland. On the relationship between assumed density filters and projection filters. [Research Report] TI 7-96-18, 1996. ⟨hal-00921659⟩
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