Higher order sigma point filter: a new heuristic for nonlinear time series filtering

DOI10.1016/J.AMC.2013.06.084MaRDI QIDQ905348zbMATH OpenOpenAlexFDO

Authors K. Ponomareva, Paresh Date

Publication date 19 January 2016

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL http://bura.brunel.ac.uk/handle/2438/10046

zbMATH Keywords

nonlinear time seriesstate estimationmoment matchingsigma point filters

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cites work

• scientific article; zbMATH DE number 44406 (Why is no real title available?)
• A new algorithm for latent state estimation in non-linear time series models
• A theory of the term structure of interest rates
• Different approaches for state filtering in nonlinear systems with uncertain observations
• Random orthogonal matrix simulation
• Sequential Monte Carlo Methods in Practice
• Stochastic processes and filtering theory

Cited in

(6)

• Comment on ``An algorithm for moment-matching scenario generation with application to financial portfolio optimisation
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• A higher order unscented transform
• A partially linearized sigma point filter for latent state estimation in nonlinear time series models

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