Nonparametric particle filtering approaches for identification and inference in nonlinear state-space dynamic systems

DOI10.1007/S11222-012-9327-7zbMATH Open1325.93053OpenAlexW2059558690MaRDI QIDQ892433FDOQ892433

Authors: Jean-Pierre Gauchi, Jean-Pierre Vila 

Publication date: 19 November 2015

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11222-012-9327-7

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zbMATH Keywords

state-space modelBayes factorparticle filteringCUSUM testnonlinear filteringsensitivity indicesinference testsnonparametric filtering

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Filtering in stochastic control theory (93E11)

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Cited In (12)

• A comparison of inferential methods for highly nonlinear state space models in ecology and epidemiology
• An Introduction to Twisted Particle Filters and Parameter Estimation in Non-Linear State-Space Models
• Approximate Bayesian Computation for a Class of Time Series Models
• Filtering discrete time nonlinear systems with unknown parameters: a nonparametric approach.
• Approximate Bayesian Computation for Smoothing
• Nonparametric multi-step prediction in nonlinear state space dynamic systems
• An improved particle filtering-based approach for health prediction and prognosis of nonlinear systems
• Bayes factor estimation for nonlinear dynamic state space models
• Inference on high-dimensional implicit dynamic models using a guided intermediate resampling filter
• Likelihood function modeling of particle filter in presence of non-stationary non-Gaussian measurement noise
• A novel filtering framework through Girsanov correction for the identification of nonlinear dynamical systems
• Gradient free parameter estimation for hidden Markov models with intractable likelihoods

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