A Stochastic Approximation-Langevinized Ensemble Kalman Filter Algorithm for State Space Models with Unknown Parameters

DOI10.1080/10618600.2022.2107531MaRDI QIDQ6047657zbMATH OpenWikidataFDO

Authors Faming Liang

Publication date 9 October 2023

Published in Journal of Computational and Graphical Statistics (Search for Journal in Brave)

Full work available at URL https://figshare.com/articles/dataset/A_Stochastic_Approximation-Langevinized_Ensemble_Kalman_Filter_Algorithm_for_State_Space_Models_with_Unknown_Parameters/20405677

zbMATH Keywords

dynamic systemensemble Kalman filterlong short term memory (LSTM) networkstochastic approximationstochastic gradient MCMC

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• A kernel-based spectral model for non-Gaussian spatio-temporal processes
• A stochastic approximation algorithm with Markov chain Monte-Carlo method for incomplete data estimation problems
• A Stochastic Approximation Method
• Consistency and fluctuations for stochastic gradient Langevin dynamics
• Convergence of the square root ensemble Kalman filter in the large ensemble limit
• Deterministic mean-field ensemble Kalman filtering
• Ensemble Kalman methods for high-dimensional hierarchical dynamic space-time models
• Equation of state calculations by fast computing machines
• Extended stochastic gradient Markov chain Monte Carlo for large-scale Bayesian variable selection
• scientific article; zbMATH DE number 48727 (Why is no real title available?)
• Inference in hidden Markov models.
• Large sample asymptotics for the ensemble Kalman filter
• Latent space models for dynamic networks
• Monte Carlo sampling methods using Markov chains and their applications
• On the convergence of a non-linear ensemble Kalman smoother
• Robust maximum-likelihood estimation of multivariable dynamic systems
• Stability of Stochastic Approximation under Verifiable Conditions
• State and parameter estimation in stochastic dynamical models
• Stochastic gradient Langevin dynamics with adaptive drifts

Cited in

(2)

• Extended fiducial inference: toward an automated process of statistical inference
• A new paradigm for generative adversarial networks based on randomized decision rules

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