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

Frédéric Cérou 1 François Le Gland 1
1 SIGMA2 - Signal, models, algorithms
IRISA - Institut de Recherche en Informatique et Systèmes Aléatoires, INRIA Rennes
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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https://hal.inria.fr/hal-00912040
Contributor : Francois Le Gland <>
Submitted on : Sunday, December 1, 2013 - 10:55:25 PM
Last modification on : Tuesday, June 15, 2021 - 4:22:17 PM

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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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