Nonlinear continuous-discrete filtering using kernel density estimatesand functional integrals

DOI10.1080/00222500305888zbMath1024.62039OpenAlexW2083869377MaRDI QIDQ4409372

Hermann Singer

Publication date: 23 November 2003

Published in: The Journal of Mathematical Sociology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00222500305888

zbMATH Keywords

Fokker-Planck equationMonte Carlo simulationsextended Kalman filterGinzburg-Landau equationfilteringkernel density estimatesstochastic volatility modelscontinuous-discrete state space modelsGaussian sum filterfunctional integral filter

Mathematics Subject Classification ID

Related Items (2)

A higher order correlation unscented Kalman filter ⋮ Representing sudden shifts in intensive dyadic interaction data using differential equation models with regime switching

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Center manifolds, normal forms and bifurcations of vector fields with application to coupling between periodic and steady motions
• Filtering and forecasting with misspecified ARCH models I. Getting the right variance with the wrong model
• The Fokker-Planck equation. Methods of solution and applications.
• Approximation von stochastischen Differentialgleichungen auf Digital- und Hybridrechnern
• Concepts and models of a quantitative sociology. The dynamics of interacting populations
• Stochastic processes and filtering theory
• ARCH models as diffusion approximations
• Two singular diffusion problems
• Modelling the persistence of conditional variances
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• Monte carlo evaluation of functionals of solutions of stochastic differential equations. variance reduction and numerical examples
• Numerical Treatment of Stochastic Differential Equations
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Continuous panel models with time dependent parameters
• Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
• A Wiener filter, state-space flux-optimal control against escape from a potential well
• Nonlinear Bayesian estimation using Gaussian sum approximations

This page was built for publication: Nonlinear continuous-discrete filtering using kernel density estimatesand functional integrals