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

DOI10.1016/J.CAM.2009.11.015MaRDI QIDQ847249zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 44406 (Why is no real title available?)
• scientific article; zbMATH DE number 830380 (Why is no real title available?)
• A new algorithm for latent state estimation in non-linear time series models
• A new moment matching algorithm for sampling from partially specified symmetric distributions
• A theory of the term structure of interest rates
• Data assimilation for magnetohydrodynamics systems
• Different approaches for state filtering in nonlinear systems with uncertain observations
• Extended Kalman filters using explicit and derivative-free local linearizations
• Local linearization filters for non-linear continuous-discrete state space models with multiplicative noise
• Probability and random processes.
• Sequential Monte Carlo Methods for Dynamic Systems
• Stochastic processes and filtering theory
• Unscented Kalman filter for time varying spectral analysis of earthquake ground motions

Cited in

(5)

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

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Uses Software

• EnKF

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