Nonlinear Filters Estimation and Applications
Nonlinear and nonnormal filters are introduced and developed. Traditional nonlinear filters such as the extended Kalman filter and the Gaussian sum filter give biased filtering estimates, and therefore several nonlinear and nonnormal filters have been der
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Springer-Verlag Berlin Heidelberg GmbH
Hisashi Tanizaki
Nonlinear Filters Estimation and Applications Second Revised and Enlarged Edition
With 18 Figures and 45 Tables
Springer
Associate Professor Hisashi Tanizaki Kobe University Faculty of Economics Rokkodai, Nadaku Kobe 657, Japan
Cataloging-in-Publication Data applied for Die Deutsche Bibliothek - CIP-Einheitsaufnahme Tanlzakl, Hlsashl: Nonlinear filters : estimation and applications / Hisashi Tanizaki. - 2. rev. and enl. ed. - Berlin ; Heidelberg; New York; Barcelona; Budapest; Hong Kong; London; Milan ; Paris ; Santa Clara; Singapore; Tokyo : Springer. 1996
ISBN 978-3-642-08253-5 DOI 10.1007/978-3-662-03223-7
ISBN 978-3-662-03223-7 (eBook)
This work is subject to copyright. All rights are reserved. whether the whole or part of the material is concerned, specifically the rights of translation, reprinting. reuse of illustrations. recitation, broadcasting, reproduction on microfilms or in other ways. and storage in data banks. Duplication of this publication or parts thereof is only permitted under the provisions of the German Copyright Law of September 9, 1965, in its version of June 24, 1985, and a copyright fee must always be paid. Violations fall under the prosecution act of the German Copyright Law. © Springer-Verlag Berlin Heidelberg 1993, 1996
Originally published by Springer-Verlag Berlin Heidelberg New York in 1996 Softcover reprint of the hardcover 2nd edition 1996 The use of registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. SPIN 10540183
42/2202-543210 - Printed on acid-free paper
To My Wife Miyuki
Preface
Preface to Second Edition This book is a revision of Nonlinear Filters: Estimation and Applications, (Lecture Notes in Economics and Mathematical Systems, No.400), which was published from Springer-Verlag in 1993. Compared with the first edition, I have made a substantial revision in the second edition. First, titles in the following chapters, sections, terms and so on are changed as follows. The First Edition Chapter 3 Nonlinear Filters based on Taylor Series Expansion Chapter 4 Nonlinear Filters based on Density Approximation Section 4.3 Numerical Density Approximation by Piecewise Linear Functions: Modified Kitagawa Estimator
The Second Edition Chapter 3 ==> Traditional Nonlinear Filters Chapter 4
=* Density-Based Nonlinear Filters Section 4.3 =* Numerical Integration Filter
Section 4.4 Section 4.4 Simulation-based Density Estimator =* Importance Sampling Filter Chapter 5 Comparison of Nonlinear Filters: Monte-Carlo Experiments Chapter 6 An Application of Nonlinear Filters: Estimation of Permanent Consumption Monograph
Chapter 5
=* Monte-Carlo Experiments Chapter 6
==> Application of Nonlinear Filters
=* Book
VIII
Preface
Thus, the most appropriate title is taken or the title is made short. Second, new contents are briefly summarized as follo
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