Abstract
This manuscript is concerned with parameter estimation of nonlinear dynamical system. Bayesian framework is very useful for parameter estimation, Metropolis-Hastings (MH) algorithm is proposed for constructing the posterior density, which is main working procedure of Bayesian analysis. Extended Kalman Filter (EKF) gives better results in non-linear environment at each time step in which Taylor series approximation for nonlinear system is used. A performance comparison of EKF in linear and non-linear environment is proposed. This study will give us the solution for nonlinear systems, numerical integration of complex integrals and parameter estimation of stochastic differential equations (SDE).
Original language | English |
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Title of host publication | IEEE 2015 International Conference on Signal and Image Processing Applications, ICSIPA 2015 - Proceedings |
Publisher | IEEE |
Pages | 7-10 |
Number of pages | 4 |
ISBN (Electronic) | 9781479989966 |
DOIs | |
Publication status | Published - 25 Feb 2016 |
Event | 4th IEEE International Conference on Signal and Image Processing Applications 2015 - Kuala Lumpur, Malaysia Duration: 19 Oct 2015 → 21 Oct 2015 |
Conference
Conference | 4th IEEE International Conference on Signal and Image Processing Applications 2015 |
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Abbreviated title | ICSIPA 2015 |
Country/Territory | Malaysia |
City | Kuala Lumpur |
Period | 19/10/15 → 21/10/15 |
Keywords
- Bayesian
- EKF
- MH
- Parameter
- SDE
ASJC Scopus subject areas
- Computer Science Applications
- Signal Processing