A practical example for the non-linear Bayesian filtering of model parameters

Published in ArXiv e-prints, 2018

Recommended citation: Matthieu Bulté, Jonas Latz, Elisabeth Ullmann. (2018). "A practical example for the non-linear Bayesian filtering of model parameters." arXiv e-prints 1807.08713. https://arxiv.org/abs/1807.08713

Abstract: In this tutorial we consider the non-linear Bayesian filtering of static parameters in a time-dependent model. We outline the theoretical background and discuss appropriate solvers. We focus on particle-based filters and present Sequential Importance Sampling (SIS) and Sequential Monte Carlo (SMC). Throughout the paper we illustrate the concepts and techniques with a practical example using real-world data. The task is to estimate the gravitational acceleration of the Earth g by using observations collected from a simple pendulum. Importantly, the particle filters enable the adaptive updating of the estimate for g as new observations become available. For tutorial purposes we provide the data set and a Python implementation of the particle filters.

GitHub with supplementary material