Nonlinear filters based on taylor series expansions∗

DOI10.1080/03610929608831763MaRDI QIDQ4337190zbMATH OpenOpenAlexFDO

Authors Hisashi Tanizaki, Roberto S. Mariano

Publication date 19 May 1997

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610929608831763

zbMATH Keywords

extended Kalman filterTaylor series expansionMonte-Carlo simulation filterrandom drawssecond-order nonlinear filter

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

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Cites work

• scientific article; zbMATH DE number 3727458 (Why is no real title available?)
• A comparison of three non-linear filters
• Asymptotic Behavior of Predictors in a Nonlinear Simultaneous System
• Asymptotically exact confidence intervals of cusum and cusumsq tests: a numerical derivation using simulation technique
• Measures of Deterministic Prediction Bias in Nonlinear Models
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• Nonlinear Bayesian estimation using Gaussian sum approximations
• Recursive Bayesian estimation using Gaussian sums
• Recursive Bayesian estimation using piecewise constant approximations
• Residual-Based Procedures for Prediction and Estimation in a Nonlinear Simultaneous System

Cited in

(8)

• Nonlinear and nonnormal filters using Monte Carlo methods
• Modal Kalman filter
• Nonlinear and non-gaussian state estimation: A quasi-optimal estimator
• Bayesian estimation of state-space models using the Metropolis-Hastings algorithm within Gibbs sampling.
• Nonlinear and non-Gaussian state-space modeling with Monte Carlo simulations
• Nonlinear filters. Estimation and applications
• Nonlinear filters approximations by cumulant function expansion: The polynomial case
• On markov chain monte carlo methods for nonlinear and non-gaussian state-space models

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