Nonlinear filters based on taylor series expansions∗

DOI10.1080/03610929608831763zbMath0875.62436OpenAlexW2076480337MaRDI QIDQ4337190

Hisashi Tanizaki, Roberto S. Mariano

Publication date: 19 May 1997

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929608831763

zbMATH Keywords

extended Kalman filterTaylor series expansionMonte-Carlo simulation filterrandom drawssecond-order nonlinear filter

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

Related Items (5)

Nonlinear and non-gaussian state estimation: A quasi-optimal estimator ⋮ Nonlinear and non-Gaussian state-space modeling with Monte Carlo simulations ⋮ Nonlinear and nonnormal filters using Monte Carlo methods ⋮ Bayesian estimation of state-space models using the Metropolis-Hastings algorithm within Gibbs sampling. ⋮ On markov chain monte carlo methods for nonlinear and non-gaussian state-space models

Cites Work

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• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• Measures of Deterministic Prediction Bias in Nonlinear Models
• Asymptotically exact confidence intervals of cusum and cusumsq tests: a numerical derivation using simulation technique
• Nonlinear Bayesian estimation using Gaussian sum approximations

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