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.
Elliott, R. J., Siu, T., & Lau, J. (2013). Filtering a double threshold model with regime switching. IEEE Transactions on Automatic Control, 58(12), 3185-3190. https://doi.org/10.1109/TAC.2013.2261186