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dc.contributor.authorCrisan, Dan
dc.contributor.authorMoral, Pierre Del
dc.contributor.authorJasra, Ajay
dc.contributor.authorRuzayqat, Hamza Mahmoud
dc.date.accessioned2021-01-28T07:24:11Z
dc.date.available2021-01-28T07:24:11Z
dc.date.issued2021-01-27
dc.identifier.urihttp://hdl.handle.net/10754/667074
dc.description.abstractIn this article we consider the estimation of the log-normalization constant associated to a class of continuous-time filtering models. In particular, we consider ensemble Kalman-Bucy filter based estimates based upon several nonlinear Kalman-Bucy diffusions. Based upon new conditional bias results for the mean of the afore-mentioned methods, we analyze the empirical log-scale normalization constants in terms of their $\mathbb{L}_n-$errors and conditional bias. Depending on the type of nonlinear Kalman-Bucy diffusion, we show that these are of order $(\sqrt{t/N}) + t/N$ or $1/\sqrt{N}$ ($\mathbb{L}_n-$errors) and of order $[t+\sqrt{t}]/N$ or $1/N$ (conditional bias), where $t$ is the time horizon and $N$ is the ensemble size. Finally, we use these results for online static parameter estimation for above filtering models and implement the methodology for both linear and nonlinear models.
dc.description.sponsorshipAJ & HR were supported by KAUST baseline funding. DC has been partially supported by EU project STUOD - DLV-856408.
dc.publisherarXiv
dc.relation.urlhttps://arxiv.org/pdf/2101.11460
dc.rightsArchived with thanks to arXiv
dc.subjectKalman-Bucy filter
dc.subjectRiccati equations
dc.subjectnormalizing constant
dc.subjectnonlinear Markov processes
dc.subjectparameter estimation
dc.titleLog-Normalization Constant Estimation using the Ensemble Kalman-Bucy Filter with Application to High-Dimensional Models
dc.typePreprint
dc.contributor.departmentComputer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division
dc.eprint.versionPre-print
dc.contributor.institutionDepartment of Mathematics, Imperial College London, London, SW7 2AZ, UK
dc.contributor.institutionCenter INRIA Bordeaux Sud-Ouest & Institut de Mathematiques de Bordeaux, Bordeaux, 33405, FR
dc.identifier.arxivid2101.11460
kaust.personJasra, Ajay
kaust.personRuzayqat, Hamza Mahmoud
refterms.dateFOA2021-01-27T00:00:00Z
kaust.acknowledged.supportUnitKAUST baseline funding


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