ERA

Download the full-sized PDF of Non-recursive and recursive methods for parameter estimation in filtering problems.Download the full-sized PDF

Analytics

Share

Permanent link (DOI): https://doi.org/10.7939/R39882V1Z

Download

Export to: EndNote  |  Zotero  |  Mendeley

Communities

This file is in the following communities:

Mathematical and Statistical Sciences, Department of

Collections

This file is in the following collections:

Research Publications (Mathematical and Statistical Sciences)

Non-recursive and recursive methods for parameter estimation in filtering problems. Open Access

Descriptions

Author or creator
Kouritzin, Michael
Long, Hongwei
Ma, Xinjian
Sun, Wei
Additional contributors
Subject/Keyword
parameter estimation
particle prediction error identification method
nonlinear stochastic system
particle filter
asymptotic method of moments
filtering
Type of item
Conference/workshop Presentation
Language
English
Place
Time
Description
Nonlinear filtering is an important and effective tool for handling estimation of signals when observations are incomplete, distorted, and corrupted. Quite often in real world applications, the signals to be estimated contain unknown parameters which need to be determined. Herein, we develop and analyze non-recursive and recursive methods, which can deal with combined state and parameter estimation for nonlinear partially-observed stochastic systems. For the non-recursive method, we obtain the unknown parameters through solving a system of non-singular finite order linear equations. For the recursive method, we generalize the least squares method and develop a particle prediction error identification algorithm so that it can be applied to general nonlinear stochastic systems. We use the branching particle filter to do the signal state estimation and implement simulations for both methods.
Date created
2003
DOI
doi:10.7939/R39882V1Z
License information
Rights
Copyright 2003 Society of Photo Optical Instrumentation Engineers. One print or electronic copy may be made for personal use only. Systematic reproduction and distribution, duplication of any material in this paper for a fee or for commercial purposes, or modification of the content of the paper are prohibited.
Citation for previous publication
M.A. Kouritzin, H. Long, X. Ma, and W. Sun, "Non-recursive and recursive methods for parameter estimation in filtering problems" in Signal Processing, Sensor Fusion, and Target Recognition XII, 2003 Proceedings of SPIE 5096, 585-596. doi:10.1117/12.488024
Source
Link to related item

File Details

Date Uploaded
Date Modified
2014-04-30T22:27:11.449+00:00
Audit Status
Audits have not yet been run on this file.
Characterization
File format: pdf (Portable Document Format)
Mime type: application/pdf
File size: 186376
Last modified: 2015:10:12 20:26:18-06:00
Filename: SPIE_2003_5096_585.pdf
Original checksum: 393c8ea401e73363bdbdcc5f17fe959e
Well formed: true
Valid: true
Page count: 12
Activity of users you follow
User Activity Date