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Nonlinear Filters

Estimation and Applications

  • Book
  • © 1996

Overview

Authors:
  1. Hisashi Tanizaki

    1. Faculty of Economics, Kobe University, Rokkodai, Nadaku, Japan

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Table of contents (8 chapters)

  1. Front Matter

    Pages I-XIX
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  2. Introduction

    • Hisashi Tanizaki
    Pages 1-13

  3. State-Space Model in Linear Case

    • Hisashi Tanizaki
    Pages 15-41

  4. Traditional Nonlinear Filters

    • Hisashi Tanizaki
    Pages 43-69

  5. Density-Based Nonlinear Filters

    • Hisashi Tanizaki
    Pages 71-111

  6. Monte-Carlo Experiments

    • Hisashi Tanizaki
    Pages 113-173

  7. Application of Nonlinear Filters

    • Hisashi Tanizaki
    Pages 175-203

  8. Prediction and Smoothing

    • Hisashi Tanizaki
    Pages 205-231

  9. Summary and Concluding Remarks

    • Hisashi Tanizaki
    Pages 233-243

  10. Back Matter

    Pages 245-255
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Keywords

About this book

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 derived from the underlying probability density functions. The density-based nonlinear filters introduced in this book utilize numerical integration, Monte-Carlo integration with importance sampling or rejection sampling and the obtained filtering estimates are asymptotically unbiased and efficient. By Monte-Carlo simulation studies, all the nonlinear filters are compared. Finally, as an empirical application, consumption functions based on the rational expectation model are estimated for the nonlinear filters, where US, UK and Japan economies are compared.

Authors and Affiliations

  • Faculty of Economics, Kobe University, Rokkodai, Nadaku, Japan

    Hisashi Tanizaki

Bibliographic Information

  • Book Title: Nonlinear Filters

  • Book Subtitle: Estimation and Applications

  • Authors: Hisashi Tanizaki

  • DOI: https://doi.org/10.1007/978-3-662-03223-7

  • Publisher: Springer Berlin, Heidelberg

  • eBook Packages: Springer Book Archive

  • Copyright Information: Springer-Verlag Berlin Heidelberg 1996

  • Hardcover ISBN: 978-3-540-61326-8Published: 16 August 1996

  • Softcover ISBN: 978-3-642-08253-5Published: 01 December 2010

  • eBook ISBN: 978-3-662-03223-7Published: 09 March 2013

  • Edition Number: 2

  • Number of Pages: XIX, 256

  • Number of Illustrations: 1 b/w illustrations

  • Additional Information: Originally published as Volume 400 in the series: Lecture Notes in Economics and Mathematical Systems

  • Topics: Economic Theory/Quantitative Economics/Mathematical Methods, Statistics for Business, Management, Economics, Finance, Insurance

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