Continuous-discrete state-space modeling of panel data with nonlinear filter algorithms

DOI10.1007/s10182-011-0172-3zbMath1325.62180OpenAlexW2056915008MaRDI QIDQ413962

Hermann Singer

Publication date: 8 May 2012

Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10182-011-0172-3

zbMATH Keywords

samplingstochastic differential equationsstochastic partial differential equationsKalman filteringrandom fieldsspatial modelsItô calculusapproximate nonlinear filteringcontinuous-discrete state space modelsstructural equations modeling

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Random fields; image analysis (62M40) Bayesian inference (62F15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35) Sequential statistical analysis (62L10)

Related Items

Importance sampling for Kolmogorov backward equations, Least squares estimation for discretely observed Ornstein–Uhlenbeck process driven by small stable noises, Parameter estimation in stochastic differential equations with Markov chain Monte Carlo and non-linear Kalman filtering, Posterior inference on parameters of stochastic differential equations via non-linear Gaussian filtering and adaptive MCMC

Uses Software

• LSDE

Cites Work

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