Model Error Estimation Using the Expectation Maximization Algorithm and a Particle Flow Filter

DOI10.1137/19M1297300zbMath1464.62369arXiv1911.01511MaRDI QIDQ4995119

María Magdalena Lucini, Peter Jan van Leeuwen, Manuel A. Pulido

Publication date: 23 June 2021

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1911.01511

zbMATH Keywords

EM algorithmstate-space modelsparticle filtersmodel error covariance

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Markov processes: estimation; hidden Markov models (62M05) Estimation and detection in stochastic control theory (93E10) Prediction theory (aspects of stochastic processes) (60G25)

Uses Software

• astsa

Cites Work

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