株式会社極東書店トップ ＞ 商品一覧 ＞ Nonlinear Filters. Estimation and Applications. 2nd rev. & enlarged ed.
商品詳細
Nonlinear Filters. Estimation and Applications. 2nd rev. & enlarged ed. 谷崎久志著 非線形フィルター 改訂第２版
・ISBN 978-3-540-61326-8 hard EUR 99.99
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| 著者・編者 | Tanizaki, Hisashi, |
|---|---|
| 出版社 | (Springer, GW) |
| 出版年月 | 1996 |
| ページ数 | 255 pp. |
| 言語 | ENG |
| ニュース番号 | ＜425-137＞ |
解説
Nonlinear and nonnormal filters are introduced and developed. Traditional nonlinear filters such as the extended Kalman filter and the Gaussian sum filter give biased filtering estimates, and therefore several nonlinear and nonnormal filters have been derived from the underlying probability density functions. The density-based nonlinear filters introduced in this book utilize numerical integration, Monte-Carlo integration with importance sampling or rejection sampling and the obtained filtering estimates are asymptotically unbiased and efficient. By Monte-Carlo simulation studies, all the nonlinear filters are compared. Finally, as an empirical application, consumption functions based on the rational expectation model are estimated for the nonlinear filters, where US, UK and Japan economies are compared.