Nonlinear tracking in a diffusion process with a Bayesian filter and the finite element method
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- Arnaud Doucet & Vladislav Tadić, 2003. "Parameter estimation in general state-space models using particle methods," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 55(2), pages 409-422, June.
- Golightly, A. & Wilkinson, D.J., 2008. "Bayesian inference for nonlinear multivariate diffusion models observed with error," Computational Statistics & Data Analysis, Elsevier, vol. 52(3), pages 1674-1693, January.
- Creal, Drew D., 2008. "Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 2863-2876, February.
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Keywords
Finite element method Hidden Markov model Nonlinear state estimation Point-mass filter Sequential Monte Carlo Stochastic differential equation;Statistics
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