✦ LIBER ✦
A partially linearized sigma point filter for latent state estimation in nonlinear time series models
✍ Scribed by Paresh Date; Luka Jalen; Rogemar Mamon
- Publisher
- Elsevier Science
- Year
- 2010
- Tongue
- English
- Weight
- 491 KB
- Volume
- 233
- Category
- Article
- ISSN
- 0377-0427
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✦ Synopsis
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 filtering procedure is assessed via a simulation example that deals with a highly nonlinear, multivariate time series representing an interest rate process.