A differential geometric approach to nonlinear filtering: the projection filter
Brigo, Damiano ; Hanzon, Bernard ; Le Gland, François
HAL, hal-00912037 / Harvested from HAL
Text on HAL
We present a new and systematic method of approximating exact nonlinear filters with finite dimensional filters, using the differential geometric approach in statistics. We define rigorously the projection filter in the case of exponential families. We propose a convenient exponential family, which allows one to simplify the projection filter equation, and to define an a posteriori measure of the performance of the projection filter
Publié le : 1995-12-05
Classification:  [MATH.MATH-PR]Mathematics [math]/Probability [math.PR] 
@article{hal-00912037,
     author = {Brigo, Damiano and Hanzon, Bernard and Le Gland, Fran\c cois},
     title = {A differential geometric approach to nonlinear filtering: the projection filter},
     journal = {HAL},
     volume = {1995},
     number = {0},
     year = {1995},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-00912037}
}

Brigo, Damiano; Hanzon, Bernard; Le Gland, François. A differential geometric approach to nonlinear filtering: the projection filter. HAL, Tome 1995 (1995) no. 0, . http://gdmltest.u-ga.fr/item/hal-00912037/