搜索结果: 16-26 共查到“统计学 Filtering”相关记录26条 . 查询时间(0.109 秒)
Operator valued stochastic control in Fock space with applications to orbit tracking and noise filtering
Operator valued stochastic control Fock space applications to orbit tracking
2009/9/22
The control process that minimizes the quadratic performance
functional associated with a quantum system whose evolution
is described by a Hudson-Parthasarathy type stochastic differential
equation...
Application of Girsanov Theorem to Particle Filtering of Discretely Observed Continuous-Time Non-Linear Systems
Girsanov theorem particle ltering continuous-discrete ltering
2009/9/22
This article considers the application of particle ltering to continuous-
discrete optimal ltering problems, where the system model is a stochastic dier-
ential equation, and noisy measurements of t...
Time dependent Malliavin calculus on manifolds and application to nonlinear filtering
Time dependent Malliavin calculus application to nonlinear filtering
2009/9/22
In this paper, we prove, using Malliavin calculus, that
under a global Hormander condition the law of a Riemannian manifold
valued stochastic process, a solution of a stochastic differential
equati...
On a role of predictor in the filtering stability
nonlinear filtering stability martingale convergence
2009/4/22
When is a nonlinear filter stable with respect to its initial condition? In spite of the recent progress, this question still lacks a complete answer in general. Currently available results indicate t...
Filtering and parameter estimation for a jump stochastic process with discrete observations
Filtering parameter estimation discrete observations
2009/3/19
A compound Poisson process is considered. We estimate the current position of the stochastic process based on past discrete-time observations (non-linear discrete filtering problem) in Bayesian settin...
Kalman Filtering with Intermittent Observations：Weak Convergence to a Stationary Distribution
Kalman Filtering Intermittent Observations Weak Convergence Stationary Distribution
2010/3/19
The paper studies the asymptotic behavior of Random Algebraic Riccati Equations (RARE) arising
in Kalman filtering when the arrival of the observations is described by a Bernoulli i.i.d. process. We ...
Asymptotically optimal filtering in linear systems with fractional Brownian noises
fractional Brownian motion homogeneous linear system optimal filtering filtering error asymptotic variance
2009/2/23
In this paper, the filtering problem is revisited in the basic Gaussian homogeneous linear system driven by fractional Brownian motions. We exhibit a simple approximate filter which is asymptotically ...
Inference for partially observed Markov process models has been a longstanding methodological
challenge with many scientific and engineering applications. Iterated filtering algorithms
maximize the ...
Dimension reduction based on constrained canonical correlation and variable filtering
Canonical correlation dimension reduction L1-norm constraint
2010/4/30
The “curse of dimensionality” has remained a challenge for highdimensional
data analysis in statistics. The sliced inverse regression
(SIR) and canonical correlation (CANCOR) methods aim to reduce
...
Application of Girsanov Theorem to Particle Filtering of Discretely Observed Continuous-Time Non-Linear Systems
Girsanov theorem particle filtering continuous-discrete filtering
2010/4/29
This article considers the application of particle filtering to continuousdiscrete
optimal filtering problems, where the system model is a stochastic differential
equation, and noisy measurements of...
Filtering and estimation in stochastic volatility models with rationally distributed disturbances
stochastic volatility filtering rational probability density function state space realization
2010/4/29
This paper deals with the filtering problem for a class of discrete
time stochastic volatility models in which the disturbances have rational
probability density functions. This includes the Cauchy ...