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Nonlinear Filters
Hisashi Tanizaki
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Description for Nonlinear Filters
Hardback. This revision introduces and develops nonlinear and nonnormal filters. It contains chapters which discuss topics such as: state-space model in linear case; Monte Carlo experiments; and prediction and smoothing. Num Pages: 256 pages, 1 black & white illustrations, 45 black & white tables, biography. BIC Classification: KCH. Category: (P) Professional & Vocational; (UP) Postgraduate, Research & Scholarly. Dimension: 234 x 156 x 17. Weight in Grams: 1260.
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, ... Read more
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, ... Read more
Product Details
Format
Hardback
Publication date
1996
Publisher
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Germany
Number of pages
256
Condition
New
Number of Pages
256
Place of Publication
Berlin, Germany
ISBN
9783540613268
SKU
V9783540613268
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
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