75 citations · 236 across the 75 of their papers we have counts for
3 papers · 2 filters
On the Convergence of the Extended Kalman Filter on Stiefel Manifolds when Observing a Constant Particle with Measurement Errors
Jordi-Lluís Figueras, Aron Persson, Lauri Viitasaari
In this paper we first introduce the setting of filtering on Stiefel manifolds. Then, assuming the underlying system process is constant, the convergence of the extended Kalman fil…
Non-parametric estimation of non-linear diffusion coefficient in parabolic SPDEs
Martin Andersson, Benny Avelin, Valentin Garino +2
In this article, we introduce a novel non-parametric predictor, based on conditional expectation, for the unknown diffusion coefficient function in the stochastic partial diffe…
Moment Estimator-Based Extreme Quantile Estimation with Erroneous Observations: Application to Elliptical Extreme Quantile Region Estimation
Jaakko Pere, Pauliina Ilmonen, Lauri Viitasaari
In many application areas of extreme value theory, the variables of interest are not directly observable but instead contain errors. In this article, we quantify the effect of thes…