کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
6421529 1631833 2013 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Higher order sigma point filter: A new heuristic for nonlinear time series filtering
ترجمه فارسی عنوان
فیلتر ترمینال سیگما نظم بالا: فیلتر اکتشافی جدید برای فیلترهای سری زمانی غیر خطی
کلمات کلیدی
برآورد دولت، فیلترهای نقطه سیگما مطابق لحظه، سری زمانی غیر خطی،
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
چکیده انگلیسی

In this paper we present some new results related to the higher order sigma point filter (HOSPoF), introduced in [1] for filtering nonlinear multivariate time series. This paper makes two distinct contributions. Firstly, we propose a new algorithm to generate a discrete statistical distribution to match exactly a specified mean vector, a specified covariance matrix, the average of specified marginal skewness and the average of specified marginal kurtosis. Both the sigma points and the probability weights are given in closed-form and no numerical optimization is required. Combined with HOSPoF, this random sigma point generation algorithm provides a new method for generating proposal density which propagates the information about higher order moments. A numerical example on nonlinear, multivariate time series involving real financial market data demonstrates the utility of this new algorithm. Secondly, we show that HOSPoF achieves a higher order estimation accuracy as compared to UKF for smooth scalar nonlinearities. We believe that this new filter provides a new and powerful alternative heuristic to existing filtering algorithms and is useful especially in econometrics and in engineering applications.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Applied Mathematics and Computation - Volume 221, 15 September 2013, Pages 662-671
نویسندگان
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