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SUMMARY:Zheng Zhao (Uppsala University)
DTSTART:20240205T121500Z
DTEND:20240205T130000Z
DTSTAMP:20260417T004741Z
UID:cam/24
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/cam/24/">Mom
 ent quadrature for stochastic filtering</a>\nby Zheng Zhao (Uppsala Univer
 sity) as part of CAM seminar\n\nLecture held in MV:L14.\n\nAbstract\nStoch
 astic filtering is an important estimation problem for time series. In thi
 s talk\, we present a class of filters that represent the filtering distri
 butions by their moments. The key enablement is a quadrature method that u
 ses orthonormal polynomials spanned by the moments. We show that this mome
 nt-based filter is asymptotically exact in the order of moments\, and that
  the filter is also computationally efficient and is in line with the stat
 e of the art.\n
LOCATION:https://researchseminars.org/talk/cam/24/
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