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SUMMARY:Optimal filtering and the dual process - Papaspiliopoulos\, O (Ins
 tituci Catalana de Recerca i Estudis Avanats (ICREA))
DTSTART:20140424T152500Z
DTEND:20140424T160000Z
UID:TALK52162@talks.cam.ac.uk
CONTACT:Mustapha Amrani
DESCRIPTION:Co-author: Matteo Ruggiero (Turin) \n\nWe link optimal filteri
 ng for hiddenMarkov models to the notion of duality forMarkov processes.We
  show that when the signal is dual to a process that has two components\, 
 one deterministic and one a pure death process\, and with respect to funct
 ions that define changes of measure conjugate to the emission density\, th
 e filtering distributions evolve in the family of finite mixtures of such 
 measures and the filter can be computed at a cost that is polynomial in th
 e number of observations. Special cases of our framework include the Kalma
 n filter\, and computable filters for the CoxIngersollRoss process and the
  one-dimensional Wright Fisher process\, which have been investigated befo
 re in the literature. The dual we obtain for the Cox IngersollRoss process
  appears to be new in the literature.\n\nRelated Links: http://www.isi-web
 .org/images/bernoulli/BEJ1305-022.pdf - article \n\n
LOCATION:Seminar Room 1\, Newton Institute
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