Nonlinear continuous-discrete filtering using kernel density estimatesand functional integrals

DOI10.1080/00222500305888zbMATH Open1024.62039OpenAlexW2083869377MaRDI QIDQ4409372FDOQ4409372

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

Recommendations

• Continuous-discrete path integral filtering
• scientific article; zbMATH DE number 4099178
• scientific article; zbMATH DE number 4088785
• The diffusion kernel filter
• Numerical approximations to optimal nonlinear filters

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)

Cites Work

• Two singular diffusion problems
• Stochastic processes and filtering theory
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Title not available (Why is that?)
• ARCH models as diffusion approximations
• Modelling the persistence of conditional variances
• Title not available (Why is that?)
• Nonlinear Bayesian estimation using Gaussian sum approximations
• The Fokker-Planck equation. Methods of solution and applications.
• Title not available (Why is that?)
• Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
• Numerical Treatment of Stochastic Differential Equations
• Filtering and forecasting with misspecified ARCH models I. Getting the right variance with the wrong model
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• Concepts and models of a quantitative sociology. The dynamics of interacting populations
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Continuous panel models with time dependent parameters
• Title not available (Why is that?)
• A Wiener filter, state-space flux-optimal control against escape from a potential well
• Approximation von stochastischen Differentialgleichungen auf Digital- und Hybridrechnern
• Monte carlo evaluation of functionals of solutions of stochastic differential equations. variance reduction and numerical examples
• Center manifolds, normal forms and bifurcations of vector fields with application to coupling between periodic and steady motions

Cited In (6)

• The diffusion kernel filter
• A higher order correlation unscented Kalman filter
• Grid methods for Bayes-optimal continuous-discrete filtering and utilizing a functional tensor train representation
• 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

This page was built for publication: Nonlinear continuous-discrete filtering using kernel density estimatesand functional integrals

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4409372)