Hermite Polynomials Expansions for Discrete-Time Nonlinear Filtering

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http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/3025 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/3025 http://eprints.org/relation/isCoversheetVersionOf https://pure.iiasa.ac.at/id/document/3025 archive 351 disk0/00/00/29/80 2016-01-15 01:57:57 2021-08-27 17:12:59 2016-01-15 01:57:57 monograph show 2 Celant G. Di Masi G.B. AL0595 Hermite Polynomials Expansions for Discrete-Time Nonlinear Filtering pub iis_met iis_sys iis_mod prog_ado A finite-dimensional approximation to general discrete-time nonlinear filtering problems is provided. It consists in a direct approximation to the recursive Bayes formula, based on a Hermite polynomials expansion of the transition density of the signal process. The approximation is in the sense of convergence, in a suitable weighted norm, to the conditional density of the signal process given the observations. The choice of the norm is in turn made so as to guarantee also the convergence of the conditional moments as well as to allow the evaluation of an upper bound for the approximation error. 1987-08 published WP-87-072 WP-87-072 10 1834 public working_paper IIASA, Laxenburg, Austria 18 FALSE info:eu-repo/semantics/book