Analysis, detection and correction of misspecified discrete time state space models

DOI10.1016/J.CAM.2017.10.020zbMATH Open1377.93162OpenAlexW2605486557MaRDI QIDQ679587FDOQ679587

Authors Salima El Kolei, Frédéric Patras

Publication date 11 January 2018

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1704.00587

zbMATH Keywords

Kalman filterrobust estimationstate space modelsextended Kalman filtermisspecified modelsdiscrete time state space models

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10)

Abstract: Misspecifications (i.e. errors on the parameters) of state space models lead to incorrect inference of the hidden states. This paper studies weakly nonlin-ear state space models with additive Gaussian noises and proposes a method for detecting and correcting misspecifications. The latter induce a biased estimator of the hidden state but also happen to induce correlation on innovations and other residues. This property is used to find a well-defined objective function for which an optimisation routine is applied to recover the true parameters of the model. It is argued that this method can consistently estimate the bias on the parameter. We demonstrate the algorithm on various models of increasing complexity.

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Cites work

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Cited in

(4)

• Parametric estimation of hidden Markov models by least squares type estimation and deconvolution
• Detecting misspecifications in autoregressive conditional duration models and non-negative time-series processes
• Kalman filtering based gradient estimation algorithms for observer canonical state-space systems with moving average noises
• LEAVE-K -OUT DIAGNOSTICS IN STATE-SPACE MODELS

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