Stochastic filtering with moment representation
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Abstract (arXiv)
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.
Key facts. Cited by 1 paper in the map (data through 7 Oct 2026). First posted on arXiv 24 Mar 2023.
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