Analysis of nonlinear state space model with dependent measurement noises

ABSTRACT

This paper presents a nonlinear state space model with considering a first-order autoregressive model for measurement noises. A recursive method using Taylor series based approximations for filtering, prediction and smoothing problem of hidden states from the noisy observations is designed. Also, an expectation-maximization algorithm for calculating the maximum likelihood estimators of parameters is presented. The closed form solutions are obtained for estimating of the hidden states and the unknown parameters. Finally, the performance of the designed methods are verified in a simulation study.

KEYWORDS:

• EM algorithm
• Estimation of the hidden state
• Nonlinear state space model
• Maximum likelihood estimation.

MATHEMATICS SUBJECT CLASSIFICATION:

• 37M10
• 62Fxx
• 93E11
• 62G07