2,125 research outputs found
Higher order sigma point filter: A new heuristic for nonlinear time series filtering
In this paper we present some new results related to the higher order sigma point filter (HOSPoF), introduced in [1] for filtering nonlinear multivariate time series. This paper makes two distinct contributions. Firstly, we propose a new algorithm to generate a discrete statistical distribution to match exactly a specified mean vector, a specified covariance matrix, the average of specified marginal skewness and the average of specified marginal kurtosis. Both the sigma points and the probability weights are given in closed-form and no numerical optimization is required. Combined with HOSPoF, this random sigma point generation algorithm provides a new method for generating proposal density which propagates the information about higher order moments. A numerical example on nonlinear, multivariate time series involving real financial market data demonstrates the utility of this new algorithm. Secondly, we show that HOSPoF achieves a higher order estimation accuracy as compared to UKF for smooth scalar nonlinearities. We believe that this new filter provides a new and powerful alternative heuristic to existing filtering algorithms and is useful especially in econometrics and in engineering applications
Unscented Orientation Estimation Based on the Bingham Distribution
Orientation estimation for 3D objects is a common problem that is usually
tackled with traditional nonlinear filtering techniques such as the extended
Kalman filter (EKF) or the unscented Kalman filter (UKF). Most of these
techniques assume Gaussian distributions to account for system noise and
uncertain measurements. This distributional assumption does not consider the
periodic nature of pose and orientation uncertainty. We propose a filter that
considers the periodicity of the orientation estimation problem in its
distributional assumption. This is achieved by making use of the Bingham
distribution, which is defined on the hypersphere and thus inherently more
suitable to periodic problems. Furthermore, handling of non-trivial system
functions is done using deterministic sampling in an efficient way. A
deterministic sampling scheme reminiscent of the UKF is proposed for the
nonlinear manifold of orientations. It is the first deterministic sampling
scheme that truly reflects the nonlinear manifold of the orientation
Sequential Bayesian inference for static parameters in dynamic state space models
A method for sequential Bayesian inference of the static parameters of a
dynamic state space model is proposed. The method is based on the observation
that many dynamic state space models have a relatively small number of static
parameters (or hyper-parameters), so that in principle the posterior can be
computed and stored on a discrete grid of practical size which can be tracked
dynamically. Further to this, this approach is able to use any existing
methodology which computes the filtering and prediction distributions of the
state process. Kalman filter and its extensions to non-linear/non-Gaussian
situations have been used in this paper. This is illustrated using several
applications: linear Gaussian model, Binomial model, stochastic volatility
model and the extremely non-linear univariate non-stationary growth model.
Performance has been compared to both existing on-line method and off-line
methods
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Particle tracking using the unscented Kalman filter in high energy physics experiments
This thesis was submitted for the award of Doctor of Philosophy and was awarded by Brunel University London.The extended Kalman lter (EKF) has a long history in the field of non-linear tracking. More recently, statistically-based estimators have emerged that avoid the need for a deterministic linearisation process. The Unscented Kalman filter (UKF) is one such technique that has been shown to perform favourably for some non-linear systems when compared to an EKF implementation, both in terms of accuracy and robustness.
In this Thesis, the UKF is applied to a high energy physics particle tracking problem where currently the EKF is being implemented. The effects of measurement redundancy are investigated to determine improvements in accuracy of particle track reconstruction. The relationship between measurement redundancy and relative observability is also investigated through an experimental and theoretical analysis. Smoothing (backward filtering), in the high energy physics experiments, is implementedusing the Rauch Tung Striebel (RTS) smoother with the EKF , however, in Unscented Kalman filter algorithms, the Jacobian matrices required by the RTS method, are not available. The Unscented Rauch Tung Striebel (URTS) smoother addresses this problem by avoiding the use of Jacobian matrices but is not effi cient for large dimensional systems such as high energy physics experiments. A technique is implemented in the RTS smoother to make it suitable for the UKF. The method is given the name the Jacobian Equivalent Rauch Tung Striebel (JE-RTS) smoother. The implementation of this method is quite straight forward when the UKF is used as an estimator
Approximate Bayesian Computation in State Space Models
A new approach to inference in state space models is proposed, based on
approximate Bayesian computation (ABC). ABC avoids evaluation of the likelihood
function by matching observed summary statistics with statistics computed from
data simulated from the true process; exact inference being feasible only if
the statistics are sufficient. With finite sample sufficiency unattainable in
the state space setting, we seek asymptotic sufficiency via the maximum
likelihood estimator (MLE) of the parameters of an auxiliary model. We prove
that this auxiliary model-based approach achieves Bayesian consistency, and
that - in a precise limiting sense - the proximity to (asymptotic) sufficiency
yielded by the MLE is replicated by the score. In multiple parameter settings a
separate treatment of scalar parameters, based on integrated likelihood
techniques, is advocated as a way of avoiding the curse of dimensionality. Some
attention is given to a structure in which the state variable is driven by a
continuous time process, with exact inference typically infeasible in this case
as a result of intractable transitions. The ABC method is demonstrated using
the unscented Kalman filter as a fast and simple way of producing an
approximation in this setting, with a stochastic volatility model for financial
returns used for illustration
The Ensemble Kalman Filter: A Signal Processing Perspective
The ensemble Kalman filter (EnKF) is a Monte Carlo based implementation of
the Kalman filter (KF) for extremely high-dimensional, possibly nonlinear and
non-Gaussian state estimation problems. Its ability to handle state dimensions
in the order of millions has made the EnKF a popular algorithm in different
geoscientific disciplines. Despite a similarly vital need for scalable
algorithms in signal processing, e.g., to make sense of the ever increasing
amount of sensor data, the EnKF is hardly discussed in our field.
This self-contained review paper is aimed at signal processing researchers
and provides all the knowledge to get started with the EnKF. The algorithm is
derived in a KF framework, without the often encountered geoscientific
terminology. Algorithmic challenges and required extensions of the EnKF are
provided, as well as relations to sigma-point KF and particle filters. The
relevant EnKF literature is summarized in an extensive survey and unique
simulation examples, including popular benchmark problems, complement the
theory with practical insights. The signal processing perspective highlights
new directions of research and facilitates the exchange of potentially
beneficial ideas, both for the EnKF and high-dimensional nonlinear and
non-Gaussian filtering in general
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