TY  - JOUR
A1  - Sitz, Andre
A1  - Schwarz, Udo
A1  - Kurths, Jürgen
A1  - Voss, Henning U.
T1  - Estimation of parameters and unobserved components for nonlinear systems from noisy time series
N2  - We study the problem of simultaneous estimation of parameters and unobserved states from noisy data of nonlinear time-continuous systems, including the case of additive stochastic forcing. We propose a solution by adapting the recently developed statistical method of unscented Kalman filtering to this problem. Due to its recursive and derivative-free structure, this method minimizes the cost function in a computationally efficient and robust way. It is found that parameters as well as unobserved components can be estimated with high accuracy, including confidence bands, from heavily noise-corrupted data.
Y1  - 2002
UR  - https://publishup.uni-potsdam.de/frontdoor/index/index/docId/16964
UR  - http://pre.aps.org/
ER  -