The discretization filter: A simple way to estimate nonlinear state space models

DOI10.3982/QE1353zbMATH Open1477.62367OpenAlexW3121812490MaRDI QIDQ5164473FDOQ5164473

Authors: Leland E. Farmer 

Publication date: 11 November 2021

Published in: Quantitative Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/qe1353

Recommendations

• Continuous-discrete state-space modeling of panel data with nonlinear filter algorithms
• Recursive nonlinear filter for a continuous discrete-time model: separation of parameters and observations
• scientific article; zbMATH DE number 3843628
• Filtering with discrete state observations
• A Nonlinear Stochastic Filter for Continuous-Time State Estimation
• Filtering discrete time nonlinear systems with unknown parameters: a nonparametric approach.
• State estimation of a non-linear stochastic distributed parameter system by discrete-time models
• scientific article; zbMATH DE number 4088785
• State estimation approach to nonstationary inverse problems: discretization error and filtering problem
• Model-Based Discrete Linear State Estimator for Nonlinearizable Systems With State-Dependent Noise

zbMATH Keywords

discretizationregime switchingstate space modelsDSGE modelsnonlinear filteringzero lower bound

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Markov processes: hypothesis testing (62M02) Inference from stochastic processes and prediction (62M20)

Cited In (6)

• On the Discretization of Continuous-Time Filters for Nonstationary Stock and Flow Time Series
• A new state-space model for linear discrete multipass processes
• A receding horizon unbiased FIR for discrete-time state space models
• Bellman filtering and smoothing for state-space models
• Recursive nonlinear filter for a continuous discrete-time model: separation of parameters and observations
• Euro area inflation persistence in an estimated nonlinear DSGE model

This page was built for publication: The discretization filter: A simple way to estimate nonlinear state space models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5164473)