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arXiv · 2303.13895

Stochastic filtering with moment representation

Zheng Zhao·Juha Sarmavuori
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Abstract

Stochastic filtering refers to estimating the probability distribution of the latent stochastic process conditioned on the observed measurements in time. In this paper, we introduce a new class of convergent filters that represent the filtering distributions by their moments. The key enablement is a quadrature method that uses orthonormal polynomials spanned by the moments. We prove that this moment-based filter is asymptotically exact in the order of moments, and show that the filter is also computationally efficient and is in line with the state of the art.

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Zheng Zhao, Juha Sarmavuori. 2023-03-24. Stochastic filtering with moment representation. https://arxiv.org/abs/2303.13895

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