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A Sequential Method for Nonlinear Filtering: Numerical Implementation and Comparisons

Author

Listed:
  • Kalaba, Robert E.
  • Spingarn, K.
  • Tesfatsion, Leigh S.

Abstract

Exact equations are presented for sequentially updating the optimal solution for a discrete-time analog of the basic Sridhar nonlinear filtering problem as the process length increases and new observations are obtained. A tabular method is described for implementing numerically the sequential filtering equations. The accuracy and efficiency of the tabular method are illustrated by means of several numerical examples. Annotated pointers to related work can be accessed here: http://www2.econ.iastate.edu/tesfatsi/flshome.htm

Suggested Citation

  • Kalaba, Robert E. & Spingarn, K. & Tesfatsion, Leigh S., 1981. "A Sequential Method for Nonlinear Filtering: Numerical Implementation and Comparisons," Staff General Research Papers Archive 11215, Iowa State University, Department of Economics.
    • Handle: RePEc:isu:genres:11215
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    More about this item

    Keywords

    Nonlinear filtering; Sridhar filtering; Kalman filtering;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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