Mostrar el registro sencillo del ítem
Log-Normalization Constant Estimation using the Ensemble Kalman-Bucy Filter with Application to High-Dimensional Models
| hal.structure.identifier | Imperial College London | |
| dc.contributor.author | CRISAN, Dan | |
| hal.structure.identifier | Quality control and dynamic reliability [CQFD] | |
| dc.contributor.author | DEL MORAL, Pierre | |
| hal.structure.identifier | King Abdullah University of Science and Technology [Saudi Arabia] [KAUST] | |
| dc.contributor.author | JASRA, Ajay | |
| hal.structure.identifier | King Abdullah University of Science and Technology [Saudi Arabia] [KAUST] | |
| dc.contributor.author | RUZAYQAT, Hamza | |
| dc.date.accessioned | 2024-04-04T02:47:28Z | |
| dc.date.available | 2024-04-04T02:47:28Z | |
| dc.identifier.uri | https://oskar-bordeaux.fr/handle/20.500.12278/191643 | |
| dc.description.abstractEn | In this article we consider the estimation of the log-normalization constant associated to a class of continuous-time filtering models. In particular, we consider ensemble Kalman-Bucy filter based estimates based upon several nonlinear Kalman-Bucy diffusions. Based upon new conditional bias results for the mean of the afore-mentioned methods, we analyze the empirical log-scale normalization constants in terms of their $\mathbb{L}_n-$errors and conditional bias. Depending on the type of nonlinear Kalman-Bucy diffusion, we show that these are of order $(\sqrt{t/N}) + t/N$ or $1/\sqrt{N}$ ($\mathbb{L}_n-$errors) and of order $[t+\sqrt{t}]/N$ or $1/N$ (conditional bias), where $t$ is the time horizon and $N$ is the ensemble size. Finally, we use these results for online static parameter estimation for above filtering models and implement the methodology for both linear and nonlinear models. | |
| dc.language.iso | en | |
| dc.subject.en | Kalman-Bucy filter | |
| dc.subject.en | Riccati equations | |
| dc.subject.en | Nonlinear Markov processes | |
| dc.title.en | Log-Normalization Constant Estimation using the Ensemble Kalman-Bucy Filter with Application to High-Dimensional Models | |
| dc.type | Document de travail - Pré-publication | |
| dc.subject.hal | Mathématiques [math]/Probabilités [math.PR] | |
| dc.identifier.arxiv | 2101.11460 | |
| bordeaux.hal.laboratories | Institut de Mathématiques de Bordeaux (IMB) - UMR 5251 | * |
| bordeaux.institution | Université de Bordeaux | |
| bordeaux.institution | Bordeaux INP | |
| bordeaux.institution | CNRS | |
| hal.identifier | hal-03131613 | |
| hal.version | 1 | |
| hal.origin.link | https://hal.archives-ouvertes.fr//hal-03131613v1 | |
| bordeaux.COinS | ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.au=CRISAN,%20Dan&DEL%20MORAL,%20Pierre&JASRA,%20Ajay&RUZAYQAT,%20Hamza&rft.genre=preprint |
Archivos en el ítem
| Archivos | Tamaño | Formato | Ver |
|---|---|---|---|
|
No hay archivos asociados a este ítem. |
|||