Filtering a double threshold model with regime switching

R.J. Elliott; T. Siu; John Lau

doi:10.1109/TAC.2013.2261186

Filtering a double threshold model with regime switching

R.J. Elliott, T. Siu, John Lau

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

2 Citations (Scopus)

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. © 1963-2013 IEEE.

Original language	English
Pages (from-to)	3185-3190
Journal	IEEE Transactions on Automatic Control
Volume	58
Issue number	12
DOIs	https://doi.org/10.1109/TAC.2013.2261186
Publication status	Published - 2013

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title = "Filtering a double threshold model with regime switching",

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. {\textcopyright} 1963-2013 IEEE.",

author = "R.J. Elliott and T. Siu and John Lau",

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language = "English",

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DO - 10.1109/TAC.2013.2261186

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VL - 58

SP - 3185

EP - 3190

JO - IEEE Transactions on Automatic Control

JF - IEEE Transactions on Automatic Control

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Filtering a double threshold model with regime switching

Abstract

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