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- W4297068428 abstract "Many nonlinear extensions of the Kalman filter, e.g., the extended and the unscented Kalman filter, reduce the state densities to Gaussian densities. This approximation gives sufficient results in many cases. However, this filters only estimate states that are correlated with the observation. Therefore, sequential estimation of diffusion parameters, e.g., volatility, which are not correlated with the observations is not possible. While other filters overcome this problem with simulations, we extend the measurement update of the Gaussian two-moment filters by a higher order correlation measurement update. We explicitly state formulas for a higher order unscented Kalman filter within a continuous-discrete state space. We demonstrate the filter in the context of parameter estimation of an Ornstein-Uhlenbeck process." @default.
- W4297068428 created "2022-09-26" @default.
- W4297068428 creator A5023341638 @default.
- W4297068428 date "2012-07-18" @default.
- W4297068428 modified "2023-10-16" @default.
- W4297068428 title "A higher order correlation unscented Kalman filter" @default.
- W4297068428 doi "https://doi.org/10.48550/arxiv.1207.4300" @default.
- W4297068428 hasPublicationYear "2012" @default.
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