Generalised Filtering
We describe a Bayesian filtering scheme for nonlinear state-space models in continuous time. This scheme is called Generalised Filtering and furnishes posterior (conditional) densities on hidden states and unknown parameters generating observed data. Crucially, the scheme operates online, assimilati...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
2010-01-01
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| Series: | Mathematical Problems in Engineering |
| Online Access: | http://dx.doi.org/10.1155/2010/621670 |