Efficient particle methods for residual generation in partially observed SDE's

Proceedings of the IEEE Conference on Decision and Control

Volumn 2, Issue , 2000, Pages 1200-1205

  Cerou F ^a   LeGland, F ^a  

^a CAMPUS DE BEAULIEU   (France)

Author keywords

Likelihood function; Nonlinear filter; Particle filter; Residual generation; Score function; Stochastic differential equation

Indexed keywords

APPROXIMATION THEORY; DIFFERENTIAL EQUATIONS; MARKOV PROCESSES; MATHEMATICAL MODELS; MAXIMUM LIKELIHOOD ESTIMATION; STATISTICAL TESTS; STOCHASTIC CONTROL SYSTEMS;

PARTICLE FILTER; RESIDUAL GENERATION; STOCHASTIC DIFFERENTIAL EQUATIONS;

NONLINEAR FILTERING;

EID: 0034439533     PISSN: 01912216     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (12)

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10. Early warning of slight changes in systems