Item description for Nonlinear Filters: Estimation and Applications by Hisashi Tanizaki...
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, where US, UK and Japan economies are compared.
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Est. Packaging Dimensions: Length: 9.4" Width: 6.2" Height: 0.8" Weight: 1.1 lbs.
Release Date Aug 16, 1996
ISBN 3540613269 ISBN13 9783540613268
Availability 103 units. Availability accurate as of Mar 29, 2017 03:33.
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More About Hisashi Tanizaki
Hisashi Tanizaki has an academic affiliation as follows - Kobe University, Japan.