Filtering a double threshold model with regime switching

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

    Research output: Contribution to journalArticle

    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 languageEnglish
    Pages (from-to)3185-3190
    JournalIEEE Transactions on Automatic Control
    Volume58
    Issue number12
    DOIs
    Publication statusPublished - 2013

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