JSTOR Daily

UNIFORM CONVERGENCE OVER TIME OF A NESTED PARTICLE FILTERING SCHEME FOR RECURSIVE PARAMETER ESTIMATION IN STATE-SPACE MARKOV MODELS

We analyse the performance of a recursive Monte Carlo method for the Bayesian estimation of the static parameters of a discrete-time state-space Markov model. The algorithm employs two layers of ...
JSTOR Daily

Robust Recursive Estimation in the Presence of Heavy-Tailed Observation Noise

This is a preview. Log in through your library . Abstract Under the usual assumptions of normality, the recursive estimator known as the Kalman filter gives excellent results and has found an ...
Risk

Recursive estimation of the exponentially weighted moving average model

The exponentially weighted moving average (EWMA) model is a particular modeling scheme, supported by RiskMetrics, that is capable of forecasting the current level of volatility of financial time ...
Nature

Multi-Target Tracking Algorithms and Filters

Multi-target tracking algorithms and filters underpin a broad spectrum of modern sensing applications by providing robust methodologies to estimate the trajectories of multiple moving objects amid ...