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Filtering a Double Threshold Model With Regime Switching

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3 Author(s)
Elliott, R.J. ; Sch. of Math. Sci., Univ. of Adelaide, Adelaide, SA, Australia ; Tak Kuen Siu ; Lau, J.W.

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.

Published in:

Automatic Control, IEEE Transactions on  (Volume:58 ,  Issue: 12 )