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Nonlinear Filters

von Hisashi Tanizaki
Hardcover - 9783540613268
106,99 €
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Softcover - 9783642082535
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Softcover - 9783642082535
106,99 €

Beschreibung

Nonlinear and nonnormal filters are introduced and developed. Traditional nonlinear filters such as the extended Kalman filter and the Gaussian sum filter give biased filtering estimates, and therefore several nonlinear and nonnormal filters have been derived from the underlying probability density functions. The density-based nonlinear filters introduced in this book utilize numerical integration, Monte-Carlo integration with importance sampling or rejection sampling and the obtained filtering estimates are asymptotically unbiased and efficient. By Monte-Carlo simulation studies, all the nonlinear filters are compared. Finally, as an empirical application, consumption functions based on the rational expectation model are estimated for the nonlinear filters, where US, UK and Japan economies are compared.

Estimation and Applications

Estimation and Applications

Details

Verlag Springer Berlin
Ersterscheinung 16. August 1996
Maße 23.5 cm x 15.5 cm
Gewicht 1260 Gramm
Format Hardcover
ISBN-13 9783540613268
Auflage 2nd rev. and enlarged ed. 1996
Seiten 256