Fast Continuous-Discrete DAF-Filters

This paper introduces a new method for nonlinear continuous-discrete filtering.It is shown that the Fokker-Planck-Equation can be solved numericallyby using distributed approximating functionals (DAFs). Theapproximation is very accurate and resolves the time interval between observationsin one calculation step.[...]

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Year of publication:	2009-11-05
Authors:	Mazzoni, Thomas
Institutions:	Fernuniversität <Hagen> / Lehrstuhl für Angewandte Statistik und Methoden der empirischen Sozialforschung
Subject:	Bivariate Verteilung \| Maximum-Likelihood-Schätzung \| Moment <Stochastik> \| moment

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1. Introduction
2. Distributed Approximating Functionals
3. One-Dimensional Moment Filter
3.1. Time Evolution of Moments
3.2. Observation Update and Likelihood Contribution
4. Exact One-Dimensional DAF-Filter
5. Inference in a Bimodal Potential
5.1. The Ginzburg-Landau Model
5.2. Accuracy of Time Updates
5.3. Maximum-Likelihood Inference
6. Higher Dimensional DAF-Filter
6.1. Tensorial Eigenvalue Decomposition
6.2. Bivariate Diffusion example
7. Stochastic Limit Cycle Model
8. Conclusions
References

Persistent link: https://www.econbiz.de/10005869770