Nonlinear tracking in a diffusion process with a Bayesian filter and the finite element method

DOI10.1016/J.CSDA.2010.04.018MaRDI QIDQ452571zbMATH OpenOpenAlexDBLPWikidataFDO

Authors M. W. Pedersen, Uffe Høgsbro Thygesen, H. Madsen

Publication date 15 September 2012

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2010.04.018

zbMATH Keywords

sequential Monte Carlohidden Markov modelstochastic differential equationfinite element methodnonlinear state estimationpoint-mass filter

Mathematics Subject Classification ID

Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Inference from stochastic processes and prediction (62M20) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• scientific article; zbMATH DE number 2061746 (Why is no real title available?)
• scientific article; zbMATH DE number 918934 (Why is no real title available?)
• Advanced point-mass method for nonlinear state estimation
• Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models
• Bayesian inference for nonlinear multivariate diffusion models observed with error
• Digital synthesis of non-linear filters
• Inference in hidden Markov models.
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• Parameter estimation in general state-space models using particle methods
• The finite element method after twenty-five years: A personal view

Cited in

(2)

• An unscented Kalman smoother for volatility extraction: evidence from stock prices and options
• Bayesian filtering estimation approach based on finite element method

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• Triangle

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