A Kalman particle filter for online parameter estimation with applications to affine models

DOI10.1007/s11203-021-09239-3zbMath1471.62476arXiv1905.08552OpenAlexW3133545803MaRDI QIDQ2046297

Peter Spreij, Jian He, Asma Khedher

Publication date: 17 August 2021

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1905.08552

zbMATH Keywords

parameter estimationKalman filterposterior distributionstate space modelparticle filteraffine process

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Filtering in stochastic control theory (93E11) Stochastic particle methods (65C35)

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Adaptive and robust experimental design for linear dynamical models using Kalman filter

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