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Conference Papers Year : 2000

Efficient particle filters for residual generation in partially observed SDE's

Abstract

The problem of detecting a change in the drift coefficient of a partially observed stochastic differential equation is addressed. The score function, evaluated at the nominal value, is used as the residual, and only the problem of residual generation is considered. In the special case where the drift coefficient depends on the parameter only in directions that are affected by nondegenerate noise, an efficient numerical approximation of the residual is proposed, using particle filters.
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Dates and versions

hal-00912040 , version 1 (01-12-2013)

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Frédéric Cérou, François Le Gland. Efficient particle filters for residual generation in partially observed SDE's. Proceedings of the 39th Conference on Decision and Control, Sydney 2000, IEEE--CSS, Dec 2000, Sydney, Australia. pp.1200-1205, ⟨10.1109/CDC.2000.912018⟩. ⟨hal-00912040⟩
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