The diffusion kernel filter
From MaRDI portal
Publication:1016080
DOI10.1007/s10955-008-9673-1zbMath1162.82008MaRDI QIDQ1016080
Publication date: 4 May 2009
Published in: Journal of Statistical Physics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10955-008-9673-1
prediction; sensitivity analysis; filtering; particle filters; data assimilation; diffusion kernel filter
62M20: Inference from stochastic processes and prediction
65C05: Monte Carlo methods
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60G35: Signal detection and filtering (aspects of stochastic processes)
82B20: Lattice systems (Ising, dimer, Potts, etc.) and systems on graphs arising in equilibrium statistical mechanics
60H05: Stochastic integrals
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Optimal prediction with memory
- Perturbation theory for linear operators.
- Sampling the posterior: an approach to non-Gaussian data assimilation
- Stochastic processes and filtering theory
- Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations