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

DOI10.1016/J.CSDA.2010.04.018zbMATH Open1247.62212DBLPjournals/csda/PedersenTM11OpenAlexW1973431172WikidataQ60398370 ScholiaQ60398370MaRDI QIDQ452571FDOQ452571

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

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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)

Cites Work

• Inference in hidden Markov models.
• Bayesian inference for nonlinear multivariate diffusion models observed with error
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• Title not available (Why is that?)
• Digital synthesis of non-linear filters
• Title not available (Why is that?)
• Parameter estimation in general state-space models using particle methods
• Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models
• The finite element method after twenty-five years: A personal view
• Advanced point-mass method for nonlinear state estimation

Cited In (1)

• An unscented Kalman smoother for volatility extraction: evidence from stock prices and options

Uses Software

• Triangle

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