Nonlinear Filters : Estimation and Applications

Language: English

Published by Springer, 1993

3540567720 / 9783540567721

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Druck auf Anfrage Neuware - Printed after ordering - 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.

Seller Inventory # 9783540567721

Title
Nonlinear Filters : Estimation and Applications
Author
Hisashi Tanizaki
Publisher
Springer
Publication year
1993
Condition
Neu
Binding
Buch
Language
English
ISBN 10
3540567720
ISBN 13
9783540567721
Item weight
536 grams
Dimensions
241x160x21 mm

AHA-BUCH GmbH

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