Fast continuous-discrete DAF-filters
Version of Record online: 27 JUL 2011
© 2011 Blackwell Publishing Ltd
Journal of Time Series Analysis
Volume 33, Issue 2, pages 193–210, March 2012
How to Cite
Mazzoni, T. (2012), Fast continuous-discrete DAF-filters. Journal of Time Series Analysis, 33: 193–210. doi: 10.1111/j.1467-9892.2011.00751.x
- Issue online: 6 MAR 2012
- Version of Record online: 27 JUL 2011
- First version received December 2009 Published online in Wiley Online Library: 27 July 2011
- distributed approximating functionals;
- continuous-discrete nonlinear filter.
This article introduces a new method for nonlinear continuous-discrete filtering. It is shown that the Fokker–Planck-equation can be solved numerically by using distributed approximating functionals (DAFs). The approximation is very accurate and resolves the time interval between observations in one calculation step. Additionally, the operator matrix has to be evaluated only once and not necessarily online. Therefore, the method is very efficient.