Fast continuous-discrete DAF-filters (Q2930879)

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Language	Label	Description	Also known as
English	Fast continuous-discrete DAF-filters	scientific article

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scholarly article

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Fast continuous-discrete DAF-filters (English)

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Journal of Time Series Analysis

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publication date

20 November 2014

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zbMATH Keywords

Fokker-Planck-equation

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distributed approximating functionals

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continuous-discrete nonlinear filter

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1111/j.1467-9892.2011.00751.x

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Particle Filtering for Partially Observed Gaussian State Space Models

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Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach

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Exact finite-dimensional filters for certain diffusions with nonlinear drift

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New exact nonlinear filters with large Lie algebras

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Dynamic Conditional Independence Models and Markov Chain Monte Carlo Methods

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Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)

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The Pricing of Options and Corporate Liabilities

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Mixture Kalman Filters

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Exact finite-dimensional nonlinear filters

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Comparing numerical methods for stiff systems of O.D.E:s

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Solving Ordinary Differential Equations II

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Advanced point-mass method for nonlinear state estimation

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Gaussian filters for nonlinear filtering problems

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A new method for the nonlinear transformation of means and covariances in filters and estimators

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Non-Gaussian State-Space Modeling of Nonstationary Time Series

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Recursive Bayesian estimation using piecewise constant approximations

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Sequential Monte Carlo Methods for Dynamic Systems

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Rejection Control and Sequential Importance Sampling

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Computational aspects of continuous-discrete extended Kalman-filtering

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Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later

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Filtering via Simulation: Auxiliary Particle Filters

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Evaluation of likelihood functions for Gaussian signals

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Approximation of continuous time stochastic processes by a local linearization method

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Comparative study of estimation methods for continuous time stochastic processes

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Simulated maximum likelihood in nonlinear continuous-discrete state space models: importance sampling by approximate smoothing

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Moment equations and Hermite expansion for nonlinear stochastic differential equations with application to stock price models

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Recursive Bayesian estimation using Gaussian sums

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Nonlinear and nonnormal filter using importance sampling: antithetic monte carlo integration

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On the nonlinear and nonnormal filter using rejection sampling

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Nonlinear and non-Gaussian state space modeling using sampling techniques

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Numerical Computation of the Matrix Exponential with Accuracy Estimate

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Identifiers

zbMATH Open document ID

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10.1111/j.1467-9892.2011.00751.x

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:2930879

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