Generalized Gauss-Hermite filtering

DOI10.1007/S10182-008-0068-ZMaRDI QIDQ2006840zbMATH OpenOpenAlexFDO

Authors Hermann Singer

Publication date 12 October 2020

Published in AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10182-008-0068-z

zbMATH Keywords

continuous-discrete state space modeldiscrete measurementsGaussian filterHermite expansionnonlinear systemsstochastic differential equations

Mathematics Subject Classification ID

Stochastic analysis (60Hxx) Computational methods for problems pertaining to statistics (62-08) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11)

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Cites work

• A new method for the nonlinear transformation of means and covariances in filters and estimators
• Exact finite-dimensional nonlinear filters
• Gaussian filters for nonlinear filtering problems
• scientific article; zbMATH DE number 3438157 (Why is no real title available?)
• scientific article; zbMATH DE number 3251312 (Why is no real title available?)
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• Moment equations and Hermite expansion for nonlinear stochastic differential equations with application to stock price models
• New developments in state estimation for nonlinear systems
• Quasi-Moment Functions in the Theory of Random Processes
• Stochastic processes and filtering theory

Cited in

(8)

• Adaptive sparse-grid Gauss-Hermite filter
• A comparison of nonlinear filtering approaches in the context of an HIV model
• Comparison of three nonlinear filtering schemes
• Multiple sparse-grid Gauss-Hermite filtering
• An improved Gaussian approximate filtering method
• Posterior inference on parameters of stochastic differential equations via non-linear Gaussian filtering and adaptive MCMC
• Gaussian kernel quadrature Kalman filter
• Generalised filtering

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