Nudging state-space models for Bayesian filtering under misspecified dynamics

Nudging is a popular algorithmic strategy in numerical filtering to deal with the problem of inference in high-dimensional dynamical systems. We demonstrate in this paper that general nudging techniques can also tackle another crucial statistical problem in filtering, namely the misspecification of...

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Hauptverfasser:	Gonzalez, Fabian, Akyildiz, O. Deniz, Crisan, Dan, Miguez, Joaquin
Format:	Artikel
Sprache:	eng
Schlagworte:	Mathematics - Probability Statistics - Computation
Online-Zugang:	Volltext bestellen
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