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

DOI10.1016/j.cam.2009.11.015zbMath1181.62129MaRDI QIDQ847249

Paresh Date, Rogemar S. Mamon, Luka Jalen

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

state estimation; nonlinear time series; sigma point filters

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

90C90: Applications of mathematical programming

90C05: Linear programming

Uses Software

• EnKF

Cites Work

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