Efficient Filtering in State-Space Representations

We develop a numerical procedure that facilitates efficient filtering in applications involving non-linear and non-Gaussian state-space models. The procedure approximates necessary integrals using continuous approximations of target densities. Construction is achieved via efficient importance sampling, and approximating densities are adapted to fully incorporate current information. We illustrate our procedure for the bearings-only tracking problem

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Year of publication:	[2009]
Authors:	DeJong, David N.
Other Persons:	Dharmarajan, Hariharan (contributor) ; Liesenfeld, Roman (contributor) ; Richard, Jean-Francois (contributor)
Publisher:	[2009]: [S.l.] : SSRN
Subject:	Zeitreihenanalyse \| Time series analysis \| Theorie \| Theory \| Zustandsraummodell \| State space model \| Saisonale Schwankungen \| Seasonal variations

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Extent:	1 Online-Ressource (30 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 30, 2008 erstellt
Other identifiers:	10.2139/ssrn.1337092 [DOI]
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012719464