Nonlinear filters: estimation and applications ; with 45 tables
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | German |
| Veröffentlicht: |
Berlin [u.a.]
Springer
1996
|
| Ausgabe: | 2., rev. and enl. ed. |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Literaturverz. S. 245 - 252 |
| Beschreibung: | XVIII, 254 S. |
| ISBN: | 3540613269 |
Internformat
MARC
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| 100 | 1 | |a Tanizaki, Hisashi |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Nonlinear filters |b estimation and applications ; with 45 tables |c Hisashi Tanizaki |
| 250 | |a 2., rev. and enl. ed. | ||
| 264 | 1 | |a Berlin [u.a.] |b Springer |c 1996 | |
| 300 | |a XVIII, 254 S. | ||
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| 337 | |b n |2 rdamedia | ||
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| 500 | |a Literaturverz. S. 245 - 252 | ||
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Datensatz im Suchindex
| _version_ | 1804125375538659328 |
|---|---|
| adam_text | HISASHI TANIZAKI
NONLINEAR FILTERS
ESTIMATION AN
D APPLICATIONS
SECOND REVISED AND ENLARGED EDITION
WITH 18 FIGURES
AND 45 TABLES
SPRINGER
TABL
E O
F CONTENT
S
PREFACE VII
1. INTRODUCTIO
N 1
1.1 OBJECTIVES OF THE BOOK 1
1.2 REVIEW OF RELATED STUDIES 3
1.3 OUTLINE OF THE BOOK 7
2. STATE-SPAC
E MODE
L IN LINEAR CASE
15
2.1 INTRODUCTION 15
2.2 APPLICATIONS OF KALMAN FILTER 16
2.2.1 TIME-VARYING PARAMETER MODEL 17
2.2.2 AUTOREGRESSIVE-MOVING AVERAGE PROCESS 18
2.2.3 SEASONAL COMPONENT MODEL 19
2.2.4 PREDICTION OF FINAL DATA BASED ON PRELIMINARY DATA .. 20
2.2.5 ESTIMATION OF PERMANENT CONSUMPTION 22
2.3 DERIVATIONS OF KALMAN FILTER ALGORITHM 24
2.3.1 DERIVATION UNDER NORMALITY ASSUMPTION 25
2.3.2 DERIVATION BY MIXED ESTIMATION 29
2.3.3 MINIMUM MEAN SQUARE LINEAR ESTIMATOR 31
2.4 ESTIMATION OF UNKNOWN PARAMETERS 33
2.5 SUMMARY 34
A2 APPENDIX 35
A2.1 DENSITY-BASED FILTERING ALGORITHM 35
A2.2 CONDITIONAL NORMAL DISTRIBUTION 37
3. TRADITIONAL NONLINEA
R FILTER
S
43
3.1 INTRODUCTION 43
3.2 RE-CONSIDERATION OF TAYLOR SERIES EXPANSIONS 45
3.2.1 EXTENDED KALMAN FILTER 51
3.2.2 SECOND-ORDER NONLINEAR FILTER 52
XIV TABLE OF CONTENTS
3.2.3 MONTE-CARLO SIMULATION FILTER 56
3.3 THEOREMS 60
3.4 SINGLE-STAGE ITERATION FILTER 64
3.5 SUMMARY 66
A3 APPENDIX 67
A3.1 STATE-SPACE MODEL 67
A3.2 CORRELATION BETWEEN
U
T
AND
V
T
68
A3.3 SINGLE-STAGE ITERATION FILTER 68
4
. DENSITY-BASE
D NONLINEA
R FILTER
S 7
1
4.1 INTRODUCTION 71
4.2 GAUSSIAN SUM FILTER 73
4.3 NUMERICAL INTEGRATION FILTER 78
4.4 IMPORTANCE SAMPLING FILTER 85
4.5 DENSITY-BASED MONTE-CARLO FILTER 90
4.6 REJECTION SAMPLING FILTER 94
4.7 SUMMARY 99
A4 APPENDIX 101
A4.1 GIBBS SAMPLING 101
A4.2 NOTE ON GAUSSIAN SUM FILTER 105
A4.3 FILTERING ESTIMATES BY GAUSSIAN SUM FILTER 106
A4.4 MONTE-CARLO INTEGRATION WITH IMPORTANCE SAMPLING. . . 108
A4.5 DENSITY-BASED MONTE-CARLO FILTER 110
A4.6 REJECTION SAMPLING IL
L
5
. MONTE-CARL
O EXPERIMENT
S 113
5.1 INTRODUCTION 113
5.2 SIMULATION STUDIES 113
5.2.1 SIMULATION I: LINEAR MODEL 114
5.2.2 SIMULATION II: LOGISTIC MODEL 128
5.2.3 SIMULATION III: ARCH(L) MODEL 142
5.2.4 SIMULATION IV: NONSTATIONARY GROWTH MODEL 148
5.3 SUMMARY 152
A5 APPENDIX 154
A5.1 ON INITIAL VALUE OF STATE-VARIABLE 154
A5.2 PRECISION OF MONTE-CARLO INTEGRATION WITH IMPORTANCE
SAMPLING 162
A5.3 ON RANDOM DRAWS BY IMPORTANCE SAMPLING 167
A5.4 REJECTION SAMPLING 171
TABLE OF CONTENTS XV
6. APPLICATIO
N OF NONLINEA
R FILTER
S
175
6.1 INTRODUCTION 175
6.2 STATE-SPACE FORM 176
6.2.1 MEASUREMENT EQUATION 177
6.2.2 TRANSITION EQUATION 178
6.3 ESTIMATION 180
6.3.1 DAT
A 181
6.3.2 NONLINEAR FILTERING TECHNIQUES 185
6.3.3 ESTIMATION RESULTS 190
6.4 SUMMARY 202
A6 APPENDIX 203
A6.1 ALTERNATIVE INTERPRETATION 203
7. PREDICTIO
N AND SMOOTHIN
G
205
7.1 INTRODUCTION 205
7.2 PREDICTION 206
7.2.1 NUMERICAL INTEGRATION PREDICTION 207
7.2.2 IMPORTANCE SAMPLING PREDICTION 208
7.2.3 DENSITY-BASED MONTE-CARLO PREDICTION 210
7.2.4 REJECTION SAMPLING PREDICTION 212
7.3 SMOOTHING 213
7.3.1 NUMERICAL INTEGRATION SMOOTHING 215
7.3.2 IMPORTANCE SAMPLING SMOOTHING 216
7.3.3 DENSITY-BASED MONTE-CARLO SMOOTHING 217
7.3.4 REJECTION SAMPLING SMOOTHING 220
7.4 SUMMARY 230
8. SUMMARY AND CONCLUDING REMARK
S
233
REFERENCE
S
245
INDE
X
253
|
| any_adam_object | 1 |
| author | Tanizaki, Hisashi |
| author_facet | Tanizaki, Hisashi |
| author_role | aut |
| author_sort | Tanizaki, Hisashi |
| author_variant | h t ht |
| building | Verbundindex |
| bvnumber | BV010885642 |
| classification_rvk | QH 237 SK 800 SK 820 |
| ctrlnum | (OCoLC)260212608 (DE-599)BVBBV010885642 |
| dewey-full | 519.5/44 |
| dewey-hundreds | 500 - Natural sciences and mathematics |
| dewey-ones | 519 - Probabilities and applied mathematics |
| dewey-raw | 519.5/44 |
| dewey-search | 519.5/44 |
| dewey-sort | 3519.5 244 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik Wirtschaftswissenschaften |
| edition | 2., rev. and enl. ed. |
| format | Book |
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| illustrated | Not Illustrated |
| indexdate | 2024-07-09T18:00:34Z |
| institution | BVB |
| isbn | 3540613269 |
| language | German |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-007279168 |
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| physical | XVIII, 254 S. |
| publishDate | 1996 |
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| publisher | Springer |
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| spelling | Tanizaki, Hisashi Verfasser aut Nonlinear filters estimation and applications ; with 45 tables Hisashi Tanizaki 2., rev. and enl. ed. Berlin [u.a.] Springer 1996 XVIII, 254 S. txt rdacontent n rdamedia nc rdacarrier Literaturverz. S. 245 - 252 Filter Stochastik (DE-588)4128590-6 gnd rswk-swf Schätztheorie (DE-588)4121608-8 gnd rswk-swf Filtertheorie (DE-588)4154392-0 gnd rswk-swf Nichtlineares Filter (DE-588)4451051-2 gnd rswk-swf Nichtlineare Filterung (DE-588)4171753-3 gnd rswk-swf 1\p (DE-588)4113937-9 Hochschulschrift gnd-content Nichtlineares Filter (DE-588)4451051-2 s Filter Stochastik (DE-588)4128590-6 s DE-604 Schätztheorie (DE-588)4121608-8 s Nichtlineare Filterung (DE-588)4171753-3 s 2\p DE-604 Filtertheorie (DE-588)4154392-0 s 3\p DE-604 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007279168&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 3\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Tanizaki, Hisashi Nonlinear filters estimation and applications ; with 45 tables Filter Stochastik (DE-588)4128590-6 gnd Schätztheorie (DE-588)4121608-8 gnd Filtertheorie (DE-588)4154392-0 gnd Nichtlineares Filter (DE-588)4451051-2 gnd Nichtlineare Filterung (DE-588)4171753-3 gnd |
| subject_GND | (DE-588)4128590-6 (DE-588)4121608-8 (DE-588)4154392-0 (DE-588)4451051-2 (DE-588)4171753-3 (DE-588)4113937-9 |
| title | Nonlinear filters estimation and applications ; with 45 tables |
| title_auth | Nonlinear filters estimation and applications ; with 45 tables |
| title_exact_search | Nonlinear filters estimation and applications ; with 45 tables |
| title_full | Nonlinear filters estimation and applications ; with 45 tables Hisashi Tanizaki |
| title_fullStr | Nonlinear filters estimation and applications ; with 45 tables Hisashi Tanizaki |
| title_full_unstemmed | Nonlinear filters estimation and applications ; with 45 tables Hisashi Tanizaki |
| title_short | Nonlinear filters |
| title_sort | nonlinear filters estimation and applications with 45 tables |
| title_sub | estimation and applications ; with 45 tables |
| topic | Filter Stochastik (DE-588)4128590-6 gnd Schätztheorie (DE-588)4121608-8 gnd Filtertheorie (DE-588)4154392-0 gnd Nichtlineares Filter (DE-588)4451051-2 gnd Nichtlineare Filterung (DE-588)4171753-3 gnd |
| topic_facet | Filter Stochastik Schätztheorie Filtertheorie Nichtlineares Filter Nichtlineare Filterung Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007279168&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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