Nonlinear tracking in a diffusion process with a Bayesian filter and the finite element method

DOI10.1016/j.csda.2010.04.018zbMath1247.62212WikidataQ60398370 ScholiaQ60398370MaRDI QIDQ452571

J. Herrera, D. Rodríguez-Gómez

Publication date: 15 September 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2010.04.018

zbMATH Keywords

stochastic differential equation; finite element method; hidden Markov model; sequential Monte Carlo; nonlinear state estimation; point-mass filter

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62F15: Bayesian inference

62M05: Markov processes: estimation; hidden Markov models

65C05: Monte Carlo methods

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60J60: Diffusion processes

Uses Software

• Triangle