scholarly journals Likelihood Functions for State Space Models with Diffuse Initial Conditions

2006 ◽  
Author(s):  
Marc Francke ◽  
Siem Jan Koopman ◽  
Aart F. de Vos
Keyword(s):  
State Space ◽  
Initial Conditions ◽  
State Space Models ◽  
Likelihood Functions

scholarly journals Likelihood functions for state space models with diffuse initial conditions

2010 ◽  
Vol 31 (6) ◽  
pp. 407-414 ◽  
Author(s):  
Marc K. Francke ◽  
Siem Jan Koopman ◽  
Aart F. De Vos
Keyword(s):  
State Space ◽  
Initial Conditions ◽  
State Space Models ◽  
Likelihood Functions

scholarly journals ‘Intractable and unsolved’: some thoughts on statistical data assimilation with uncertain static parameters

2013 ◽  
Vol 371 (1991) ◽  
pp. 20120297 ◽  
Author(s):  
Jonathan Rougier
Keyword(s):  
Numerical Methods ◽  
Data Assimilation ◽  
State Space ◽  
Stochastic Models ◽  
Environmental Science ◽  
Statistical Data ◽  
Initial Conditions ◽  
The State ◽  
Likelihood Functions ◽  
Sensitive Dependence

If you seem to be able to do data assimilation with uncertain static parameters then you are probably not working in environmental science. In this field, applications are often characterized by sensitive dependence on initial conditions and attracting sets in the state-space, which, taken together, can be a major challenge to numerical methods, leading to very peaky likelihood functions. Inherently stochastic models and uncertain static parameters increase the challenge.

Parameter Estimation Using a Modified Version of SPSA Algorithm Applied to State Space Models

2009 ◽  
Vol 129 (12) ◽  
pp. 1187-1194 ◽  
Author(s):  
Jorge Ivan Medina Martinez ◽  
Kazushi Nakano ◽  
Kohji Higuchi
Keyword(s):  
Parameter Estimation ◽  
State Space ◽  
State Space Models

Heat transfer modeling and identification using fractional order state space models

2008 ◽  
Vol 42 (6-8) ◽  
pp. 939-951 ◽  
Author(s):  
Tounsia Jamah ◽  
Rachid Mansouri ◽  
Saïd Djennoune ◽  
Maâmar Bettayeb
Keyword(s):  
Heat Transfer ◽  
State Space ◽  
Fractional Order ◽  
State Space Models ◽  
Heat Transfer Modeling ◽  
Order State
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