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Full metadata record
DC Field | Value | Language |
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dc.contributor.author | Date, P | - |
dc.contributor.author | Jalen, L | - |
dc.contributor.author | Mamon, R | - |
dc.coverage.spatial | 16 | - |
dc.date.accessioned | 2009-11-27T09:28:12Z | - |
dc.date.available | 2009-11-27T09:28:12Z | - |
dc.date.issued | 2010 | - |
dc.identifier.citation | Journal of Computational and Applied Mathematics. 233(10): 2675–2682, Mar 2010 | en |
dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/3902 | - |
dc.identifier.uri | http://www.sciencedirect.com/science/article/pii/S0377042709007468 | en |
dc.description.abstract | A new technique for the latent state estimation of a wide class of nonlinear time series models is proposed. In particular, we develop a partially linearized sigma point filter in which random samples of possible state values are generated at the prediction step using an exact moment matching algorithm and then a linear programming-based procedure is used in the update step of the state estimation. The effectiveness of the new ¯ltering procedure is assessed via a simulation example that deals with a highly nonlinear, multivariate time series representing an interest rate process. | en |
dc.language.iso | en | en |
dc.publisher | Elsevier | en |
dc.title | A partially linearized sigma point filter for latent state estimation in nonlinear time series models | en |
dc.type | Research Paper | en |
dc.identifier.doi | http://dx.doi.org/10.1016/j.cam.2009.11.015 | - |
Appears in Collections: | Dept of Mathematics Research Papers Mathematical Sciences |
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Fulltext.pdf | 191.26 kB | Adobe PDF | View/Open |
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