Filtering a double threshold model with regime-switching

Robert J. Elliott, Tak Kuen Siu, John W. 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.

Original languageEnglish
Article number6512015
Pages (from-to)3185-3190
Number of pages6
JournalIEEE Transactions on Automatic Control
Volume58
Issue number12
DOIs
Publication statusPublished - Dec 2013

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