Using Monte Carlo particle methods to estimate and quantify uncertainty in periodic parameters (research)

DOI10.1007/978-3-030-42687-3_14MaRDI QIDQ5118673zbMATH OpenOpenAlexFDO

Authors Andrea Arnold

Publication date 26 August 2020

Published in Advances in Mathematical Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-030-42687-3_14

Mathematics Subject Classification ID

Bayesian inference (62F15) Inference from stochastic processes and prediction (62M20) Monte Carlo methods (65C05) Estimation and detection in stochastic control theory (93E10) Filtering in stochastic control theory (93E11)

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Cites work

• A First Course in the Numerical Analysis of Differential Equations
• A survey of cross-validation procedures for model selection
• An adaptive Metropolis algorithm
• An approach to periodic, time-varying parameter estimation using nonlinear filtering
• Bayesian model selection and model averaging
• Catastrophic filter divergence in filtering nonlinear dissipative systems
• Filtering via Simulation: Auxiliary Particle Filters
• scientific article; zbMATH DE number 1666093 (Why is no real title available?)
• scientific article; zbMATH DE number 5180707 (Why is no real title available?)
• Linear multistep methods, particle filtering and sequential Monte Carlo
• NONLINEAR DYNAMICAL SYSTEM IDENTIFICATION FROM UNCERTAIN AND INDIRECT MEASUREMENTS
• On particle methods for parameter estimation in state-space models
• Parameter estimation for stiff deterministic dynamical systems via ensemble Kalman filter
• The ensemble Kalman filter for combined state and parameter estimation

Cited in

(2)

• When artificial parameter evolution gets real: particle filtering for time-varying parameter estimation in deterministic dynamical systems
• Fourier series-based approximation of time-varying parameters in ordinary differential equations

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Uses Software

• BioBayes

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