Stable and Efficient Cubature-based Filtering in Dynamical Systems

Business & Finance, Economics, Econometrics, Statistics, Nonfiction, Science & Nature, Mathematics
Cover of the book Stable and Efficient Cubature-based Filtering in Dynamical Systems by Dominik Ballreich, Springer International Publishing
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Author: Dominik Ballreich ISBN: 9783319621302
Publisher: Springer International Publishing Publication: August 28, 2017
Imprint: Springer Language: English
Author: Dominik Ballreich
ISBN: 9783319621302
Publisher: Springer International Publishing
Publication: August 28, 2017
Imprint: Springer
Language: English

The book addresses the problem of calculation of d-dimensional integrals (conditional expectations) in filter problems. It develops new methods of deterministic numerical integration, which can be used to speed up and stabilize filter algorithms. With the help of these methods, better estimates and predictions of latent variables are made possible in the fields of economics, engineering and physics. The resulting procedures are tested within four detailed simulation studies.

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The book addresses the problem of calculation of d-dimensional integrals (conditional expectations) in filter problems. It develops new methods of deterministic numerical integration, which can be used to speed up and stabilize filter algorithms. With the help of these methods, better estimates and predictions of latent variables are made possible in the fields of economics, engineering and physics. The resulting procedures are tested within four detailed simulation studies.

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