Filtering and Smoothing via Estimating Functions
作者:
U.V. Naik-Nimbalkar,
M.B. Rajarshi,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1995)
卷期:
Volume 90,
issue 429
页码: 301-306
ISSN:0162-1459
年代: 1995
DOI:10.1080/01621459.1995.10476513
出版商: Taylor & Francis Group
关键词: Extended Kalman filter;Nonlinear time series models;State-space models
数据来源: Taylor
摘要:
We consider the problem of filtering and smoothing in state-space models, which include nonlinear and non-Gaussian models. We do not make any distributional assumptions about the processes involved. Our approach to these problems is based on the theory of estimating functions. Filter and smoother are obtained as solutions of estimating equations that are optimal in appropriate classes. We illustrate our procedures by simulation studies of a model where the observational variance depends on the state and a binomial logit model with a covariate. In non-Gaussian cases, procedures based on estimating equations often perform considerably better than the existing semiparametric procedures.
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