An unscented kalman filter approach to the estimation of nonlinear dynamical systems models

Sy Miin Chow, Emilio Ferrer, John R. Nesselroade

Research output: Contribution to journalArticlepeer-review

54 Scopus citations

Abstract

In the past several decades, methodologies used to estimate nonlinear relationships among latent variables have been developed almost exclusively to fit cross-sectional models. We present a relatively new estimation approach, the unscented Kalman filter (UKF), and illustrate its potential as a tool for fitting nonlinear dynamic models in two ways: (1) as a building block for approximating the log-likelihood of nonlinear state-space models and (2) to fit time-varying dynamic models wherein parameters are represented and estimated online as other latent variables. Furthermore, the substantive utility of the UKF is demonstrated using simulated examples of (1) the classical predator-prey model with time series and multiple-subject data, (2) the chaotic Lorenz system and (3) an empirical example of dyadic interaction.

Original languageEnglish (US)
Pages (from-to)283-321
Number of pages39
JournalMultivariate Behavioral Research
Volume42
Issue number2
DOIs
StatePublished - Jan 1 2007

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Experimental and Cognitive Psychology
  • Arts and Humanities (miscellaneous)

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