Filtering a double threshold model with regime switching
Date
2013
Authors
Elliott, R.
Siu, T.
Lau, J.
Editors
Advisors
Journal Title
Journal ISSN
Volume Title
Type:
Journal article
Citation
IEEE Transactions on Automatic Control, 2013; 58(12):3185-3190
Statement of Responsibility
Robert J. Elliott, Tak Kuen Siu, and John W. Lau
Conference Name
Abstract
We introduce a new double threshold model with regime switches. New filtering equations are derived based on a reference probability approach. We also propose a new and practically useful method for implementing the filtering equations.
School/Discipline
Dissertation Note
Provenance
Description
Access Status
Rights
© 2013 IEEE