ENGLISH

Non-linear and non-normal filter based on Monte-Carlo technique

By Hisashi Tanizaki

Book information

Year
1997
Language
english
Format
PDF
Filesize
109 kB (111552 bytes)
Pages
17\17
Library
mexmat
Time added
2009-11-09 02:42:13

Description

A non-linear and/or non-normal filter is proposed in this paper. Generating random draws of the state vector directly from the filtering density, the filtering estimate is obtained, which gives us a recursive algorithm. There, we do not evaluate any integration included in the density-based filtering algorithm such as the numerical integration procedure and the Monte-Carlo integration approach. The Monte-Carlo experiments indicate that the proposed non-linear and non-normal filter shows a good performance.

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