A self-organizing state space model and simplex initial distribution search (Q626199)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A self-organizing state space model and simplex initial distribution search |
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A self-organizing state space model and simplex initial distribution search (English)
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22 February 2011
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A Monte Carlo particle (MCP) filter is considered for nonlinear non-Gaussian state-space (SS) models. A self-organizing SS (SOSS) is discussed where the unknown parameters of the model are included in the augmented state vector. A version of the simplex Nelder-Mead maximization algorithm is proposed for maximum likelihood estimation calculation in SOSS with MCP filter. Numerical examples are presented for linear and nonlinear Gaussian and non-Gaussian SS, a stochastic volatility model and a threshold autoregressive model.
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Monte Carlo particle filtering
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Nelder Mead algorithm
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maximum likelihood
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