Filters
Exponential estimates for stochastic convolutions in 2-smooth Banach spaces
Sharp constants in a (one-sided) Burkholder-Davis-Gundy type estimate for stochastic integrals in a 2-smooth Banach space are found. As a consequence, exponential tail estimates for stochastic convolutions are obta...
BA - Obecná matematika
- 2010 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Entropy-based Consistency Monitoring for Stochastic Integration Filter
The paper deals with state estimation of nonlinear stochastic dynamic discrete-time systems with a special focus on the stochastic integration filter. The filter inconsistent estimates. Primarily, optimistic incons...
Automation and control systems
- 2018 •
- D •
- Link
Rok uplatnění
D - Stať ve sborníku
Výsledek na webu
Nonlinear Filtering Toolbox for Continuous stochastic systems with Discrete measurements
The toolbox is a software package for state estimation of continuous stochastic simulation, estimator setup and state estimation. The package is designed to embody easily user defined estimators and thus i...
BC - Teorie a systémy řízení
- 2006 •
- X
Rok uplatnění
X - Nezařazeno
Sensitivity on estimation errors in moments for scenario tree and optimal solution of two-stage stochastic programs
Sensitivity on estimation errors in moments for scenario tree and optimal solution of two-stage stochastic programs...
BB - Aplikovaná statistika, operační výzkum
- 2004 •
- D
Rok uplatnění
D - Stať ve sborníku
Numerical approaches to parameter estimates in stochastic differential equations driven by fractional Brownian motion
We solve the one-dimensional stochastic heat equation driven by fractional Brownian motion using the modified Euler-Maruyama finite differences method. We use the numerical solution as our observation and we show how to estimate the...
BA - Obecná matematika
- 2006 •
- D
Rok uplatnění
D - Stať ve sborníku
Change point detection by sparse parameter estimation
stochastic processes by sparse parameter estimation in overparametrized models. Stochastic processes with changes in the mean are estimated by Heaviside functions. The Basis Pursuitalgorithm is used to get sparse ...
BB - Aplikovaná statistika, operační výzkum
- 2009 •
- D
Rok uplatnění
D - Stať ve sborníku
Stochastic Integration Filter with Improved State Estimate Mean-Square Error Computation
The paper deals with the Bayesian state estimation of nonlinear stochastic dynamic systems. The focus is aimed at the stochastic integration filter, which calculated by the stochastic integration rule. Besides the ...
Automation and control systems
- 2018 •
- D •
- Link
Rok uplatnění
D - Stať ve sborníku
Výsledek na webu
On Nonlinearity Measuring Aspects of Stochastic Integration Filter
The paper deals with Bayesian state estimation of nonlinear stochastic dynamic systems. The focus is aimed at the stochastic integration filter, which is based on a stochastic integration rule. It is shown that the...
Robotics and automatic control
- 2016 •
- D •
- Link
Rok uplatnění
D - Stať ve sborníku
Výsledek na webu
Estimation of the input parameters in the Ornstein-Uhlenbeck neuronal model
The estimates of the model parameters are derived. The objective of the methods presented is to provide researchers with quantitative means in order to estimate parameters of stochastic neuronal model......
ED - Fyziologie
- 2005 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Using High-frequency Power-variation Estimators in the Bayesian Estimation of Stochastic-volatility Jump-diffusion Models
Main topics of the document: stochastic volatility; self-exciting jumps; realized volatility...
AH - Ekonomie
- 2015 •
- D
Rok uplatnění
D - Stať ve sborníku
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