A partially linearized sigma point filter for latent state estimation in nonlinear time series models

DOI10.1016/J.CAM.2009.11.015zbMATH Open1181.62129OpenAlexW2132023324MaRDI QIDQ847249FDOQ847249

Authors: Paresh Date, Luka Jalen, Rogemar Mamon 

Publication date: 12 February 2010

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

Full work available at URL: https://doi.org/10.1016/j.cam.2009.11.015

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zbMATH Keywords

nonlinear time seriesstate estimationsigma point filters

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Linear programming (90C05) Applications of mathematical programming (90C90)

Cites Work

• A theory of the term structure of interest rates
• Stochastic processes and filtering theory
• Probability and random processes.
• Sequential Monte Carlo Methods for Dynamic Systems
• Title not available (Why is that?)
• Local linearization filters for non-linear continuous-discrete state space models with multiplicative noise
• A new algorithm for latent state estimation in non-linear time series models
• Extended Kalman filters using explicit and derivative-free local linearizations
• Different approaches for state filtering in nonlinear systems with uncertain observations
• Title not available (Why is that?)
• A new moment matching algorithm for sampling from partially specified symmetric distributions
• Data assimilation for magnetohydrodynamics systems
• Unscented Kalman filter for time varying spectral analysis of earthquake ground motions

Cited In (4)

• Modelling and filtering for dynamic investment in the precious-metals market
• A recursive robust Bayesian estimation in partially observed financial market
• A new algorithm for latent state estimation in non-linear time series models
• Time series represented by means of fuzzy piecewise lineal segments

Uses Software

• EnKF

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