Stable and efficient cubature-based filtering in dynamical systems [electronic resource] /
Ballreich, Dominik.author.
The book addresses the problem of calculation of d-dimensional integrals (conditional expectations) in filter problems. It develops new methods of deterministic numerical integration, which can be used to speed up and stabilize filter algorithms. With the help of these methods, better estimates and predictions of latent variables are made possible in the fields of economics, engineering and physics. The resulting procedures are tested within four detailed simulation studies.
Includes bibliographical references and index.
Introduction -- Filtering in Dynamical Systems -- Deterministic Numerical Integration -- Optimization and Stabilization of Cubature Rules -- Simulation Studies -- Results -- Appendices -- Index -- Bibliography.
The book addresses the problem of calculation of d-dimensional integrals (conditional expectations) in filter problems. It develops new methods of deterministic numerical integration, which can be used to speed up and stabilize filter algorithms. With the help of these methods, better estimates and predictions of latent variables are made possible in the fields of economics, engineering and physics. The resulting procedures are tested within four detailed simulation studies.
Statistics .
Econometrics.
Computer mathematics.
Vibration.
Dynamical systems.
Dynamics.
Statistical physics.
Statistics for Business, Management, Economics, Finance, Insurance.
Econometrics.
Computational Mathematics and Numerical Analysis.
Vibration, Dynamical Systems, Control.
Statistical Physics and Dynamical Systems.