Journal article
Applying the EKF to stochastic differential equations with level effects
A transformation is introduced to effectively remove level effects, i.e. the state dependency of the diffusion function, in a restricted class of multivariate stochastic differential equations such that the general continuous–discrete-time nonlinear filtering problem may be solved using new or existing implementations of the extended kalman filter (EKF).
An implementation of a quasi-maximum likelihood (QML) method for direct estimation of embedded parameters in nonlinear, multivariate stochastic differential equations using discrete-time input–output data encumbered with additive measurement noise is discussed, and its properties are compared with those provided by another software package.
Language: | English |
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Year: | 2001 |
Pages: | 107-112 |
ISSN: | 18732836 and 00051098 |
Types: | Journal article |
DOI: | 10.1016/S0005-1098(00)00128-X |
ORCIDs: | Madsen, Henrik |