On the Relationship between Assumed Density Filters and Projection Filtersx
نویسندگان
چکیده
This paper compares the classical concept of assumed density lters (ADF) with a new class of approximate lters, the projection lters (PF). It is shown that the concept of ADF is inconsistent in the sense that the resulting lters vary according to the choice of a stochastic calculus, i.e. It^ o or McShane{Fisk{Stratonovich (MFS). The PF are based on the diierential geometric approach to statistics and are well deened. 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.
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