کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4629053 1340573 2013 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A higher order correlation unscented Kalman filter
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
A higher order correlation unscented Kalman filter
چکیده انگلیسی

Many nonlinear extensions of the Kalman filter, e.g., the extended and the unscented Kalman filter, reduce the state densities to Gaussian densities. This approximation gives sufficient results in many cases. However, these filters only estimate states that are correlated with the observation. Therefore, sequential estimation of diffusion parameters, e.g., volatility, which are not correlated with the observations is not possible. While other filters overcome this problem with simulations, we extend the measurement update of the Gaussian two-moment filters by a higher order correlation measurement update. We explicitly state formulas for a higher order unscented Kalman filter within a continuous–discrete state space. We demonstrate the filter in the context of parameter estimation of an Ornstein–Uhlenbeck process.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Applied Mathematics and Computation - Volume 219, Issue 17, 1 May 2013, Pages 9033–9042
نویسندگان
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