Overview

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.

Full Product Details

Author:   Hisashi Tanizaki
Publisher:   Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Imprint:   Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Edition:   Softcover reprint of hardcover 2nd ed. 1996
Dimensions:   Width: 15.50cm , Height: 1.40cm , Length: 23.50cm
Weight:   0.454kg
ISBN:  

9783642082535

ISBN 10:   364208253
Pages:   256
Publication Date:   01 December 2010
Audience:   Professional and scholarly ,  Professional and scholarly ,  Professional & Vocational ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   In Print  
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