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CATEGORIES:Isaac Newton Institute Seminar Series
SUMMARY:Optimal filtering and the dual process - Papaspili
opoulos\, O (Instituci Catalana de Recerca i Estud
is Avanats (ICREA))
DTSTART;TZID=Europe/London:20140424T162500
DTEND;TZID=Europe/London:20140424T170000
UID:TALK52162AThttp://talks.cam.ac.uk
URL:http://talks.cam.ac.uk/talk/index/52162
DESCRIPTION:Co-author: Matteo Ruggiero (Turin) \n\nWe link opt
imal filtering for hiddenMarkov models to the noti
on of duality forMarkov processes.We show that whe
n the signal is dual to a process that has two com
ponents\, one deterministic and one a pure death p
rocess\, and with respect to functions that define
changes of measure conjugate to the emission dens
ity\, the filtering distributions evolve in the fa
mily of finite mixtures of such measures and the f
ilter can be computed at a cost that is polynomial
in the number of observations. Special cases of o
ur framework include the Kalman filter\, and compu
table filters for the CoxIngersollRoss process and
the one-dimensional Wright Fisher process\, which
have been investigated before in the literature.
The dual we obtain for the Cox IngersollRoss proce
ss appears to be new in the literature.\n\nRelated
Links: http://www.isi-web.org/images/bernoulli/BE
J1305-022.pdf - article \n\n
LOCATION:Seminar Room 1\, Newton Institute
CONTACT:Mustapha Amrani
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