Multiplicative Kalman filtering

被引：0

作者：

Fabienne Comte

Valentine Genon-Catalot

Mathieu Kessler

机构：

[1] Université Paris Descartes,Laboratoire MAP 5

[2] UFR de Mathématiques et Informatique,Departamento de Matemática Aplicada y Estadística

[3] CNRS UMR 8145,undefined

[4] Universidad Politécnica de Cartagena,undefined

来源：

TEST | 2011年 / 20卷

关键词：

Filtering; Discrete time observations; Hidden Markov Models; Parametric inference; Scale perturbation; 60G35; 62M05; 60J60;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

We study a non-linear Hidden Markov Model, where the process of interest is the absolute value of a discretely observed Ornstein–Uhlenbeck diffusion, which is observed after a multiplicative perturbation. We obtain explicit formulae for the recursive relations which link the relevant conditional distributions. As a consequence the predicted, filtered, and smoothed distributions for the hidden process can easily be computed. We illustrate the behaviour of these distributions on simulations.

引用

页码：389 / 411

页数：22

共 50 条

[1] Multiplicative Kalman filtering
Comte, Fabienne
Genon-Catalot, Valentine
Kessler, Mathieu
[J]. TEST, 2011, 20 (02) : 389 - 411
[2] Kalman Filtering with Multiplicative and Additive Noises
Wu, Yilin
Zhang, Qian
Shen, Zhiping
[J]. PROCEEDINGS OF THE 2016 12TH WORLD CONGRESS ON INTELLIGENT CONTROL AND AUTOMATION (WCICA), 2016, : 483 - 487
[3] Kalman Filtering With Multiplicative and Additive Noises
Wu, Yilin
Shen, Zhiping
Zhang, Qian
Liu, Yu
[J]. PROCEEDINGS OF THE 2013 ASIA-PACIFIC COMPUTATIONAL INTELLIGENCE AND INFORMATION TECHNOLOGY CONFERENCE, 2013, : 420 - 426
[4] Kalman Filtering for Delayed Singular Systems with Multiplicative Noise
Lu, Xiao
Wang, Linglong
Wang, Haixia
Wang, Xianghua
[J]. IEEE-CAA JOURNAL OF AUTOMATICA SINICA, 2016, 3 (01) : 51 - 58
[5] Kalman Filtering for Singular WSN Systems with Multiplicative Noise
Lu, Xiao
Liu, Shi
Luan, Sai
Pu, Qiong
[J]. 2014 INTERNATIONAL CONFERENCE ON MECHATRONICS AND CONTROL (ICMC), 2014, : 1319 - 1323
[6] Kalman Filtering for Delayed Singular Systems with Multiplicative Noise
Xiao Lu
Linglong Wang
Haixia Wang
Xianghua Wang
[J]. IEEE/CAA Journal of Automatica Sinica, 2016, 3 (01) : 51 - 58
[7] Kalman filtering for delayed singular systems with multiplicative noise
[J]. 1600, Institute of Electrical and Electronics Engineers Inc. (03):
[8] Robust extended Kalman filtering for nonlinear systems with multiplicative noises
Xiong Kai
Liu Liangdong
Liu Yiwu
[J]. OPTIMAL CONTROL APPLICATIONS & METHODS, 2011, 32 (01): : 47 - 63
[9] Kalman Filtering for Wireless Sensor Network with Multiple Multiplicative Noises
Lu, Xiao
Li, Mingchao
Pu, Qiong
[J]. 2011 CHINESE CONTROL AND DECISION CONFERENCE, VOLS 1-6, 2011, : 2371 - +
[10] Adaptive Kalman Filtering for Recursive Both Additive Noise and Multiplicative Noise
Yu, Xingkai
Li, Jianxun
[J]. IEEE TRANSACTIONS ON AEROSPACE AND ELECTRONIC SYSTEMS, 2022, 58 (03) : 1634 - 1649

← 1 2 3 4 5 →