Nonlinear continuous-discrete filtering using kernel density estimatesand functional integrals

DOI10.1080/00222500305888MaRDI QIDQ4409372zbMATH OpenOpenAlexFDO

Authors Hermann Singer

Publication date 23 November 2003

Published in The Journal of Mathematical Sociology (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00222500305888

zbMATH Keywords

extended Kalman filterfilteringFokker-Planck equationGinzburg-Landau equationstochastic volatility modelsMonte Carlo simulationscontinuous-discrete state space modelskernel density estimatesGaussian sum filterfunctional integral filter

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited in

(6)

• A higher order correlation unscented Kalman filter
• Non-Gaussian Filter for Continuous-Discrete Models
• Representing sudden shifts in intensive dyadic interaction data using differential equation models with regime switching
• Continuous-discrete path integral filtering
• The diffusion kernel filter
• Grid methods for Bayes-optimal continuous-discrete filtering and utilizing a functional tensor train representation

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