Generalized Gauss-Hermite filtering

DOI10.1007/s10182-008-0068-zzbMath1477.62263OpenAlexW2144692189MaRDI QIDQ2006840

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

nonlinear systemsstochastic differential equationsHermite expansionGaussian filterdiscrete measurementscontinuous-discrete state space model

Mathematics Subject Classification ID

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

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Posterior inference on parameters of stochastic differential equations via non-linear Gaussian filtering and adaptive MCMC

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