On the relationship between assumed density filters and projection filters

Damiano Brigo 1, 2 Bernard Hanzon 2 François Le Gland 1
1 SIGMA2 - Signal, models, algorithms
IRISA - Institut de Recherche en Informatique et Systèmes Aléatoires, INRIA Rennes
Abstract : This paper compares the classical concept of assumed density filters (ADF) with a new class of approximate filters, the projection filters (PF). It is shown that the concept of ADF is inconsistent in the sense that the resulting filters vary according to the choice of a stochastic calculus, i.e. Itô or McShane-Fisk-Stratonovich (MFS). The PF are based on the differential geometric approach to statistics and are well defined. It is shown that in the context of the exponential families, the PF coincide with MFS-based ADF. An example is provided, which shows that this does not hold in general, for non-exponential families of densities.
Type de document :
Rapport
[Research Report] TI 7-96-18, 1996
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https://hal.inria.fr/hal-00921659
Contributeur : Francois Le Gland <>
Soumis le : vendredi 20 décembre 2013 - 17:41:00
Dernière modification le : jeudi 11 janvier 2018 - 06:20:10

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  • HAL Id : hal-00921659, version 1

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Damiano Brigo, Bernard Hanzon, François Le Gland. On the relationship between assumed density filters and projection filters. [Research Report] TI 7-96-18, 1996. 〈hal-00921659〉

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