The diffusion kernel filter

DOI10.1007/s10955-008-9673-1zbMath1162.82008OpenAlexW2091143251MaRDI QIDQ1016080

Paul Krause

Publication date: 4 May 2009

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10955-008-9673-1

zbMATH Keywords

predictionsensitivity analysisfilteringparticle filtersdata assimilationdiffusion kernel filter

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35) Lattice systems (Ising, dimer, Potts, etc.) and systems on graphs arising in equilibrium statistical mechanics (82B20) Stochastic integrals (60H05)

Cites Work

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• Optimal prediction with memory
• Perturbation theory for linear operators.
• Sampling the posterior: an approach to non-Gaussian data assimilation
• Stochastic processes and filtering theory
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations

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