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ERIC Number: EJ772339
Record Type: Journal
Publication Date: 2007
Pages: 39
Abstractor: Author
Reference Count: N/A
ISSN: ISSN-0027-3171
An Unscented Kalman Filter Approach to the Estimation of Nonlinear Dynamical Systems Models
Chow, Sy-Miin; Ferrer, Emilio; Nesselroade, John R.
Multivariate Behavioral Research, v42 n2 p283-321 2007
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.
Lawrence Erlbaum. Available from: Taylor & Francis, Ltd. 325 Chestnut Street Suite 800, Philadelphia, PA 19106. Tel: 800-354-1420; Fax: 215-625-2940; Web site:
Publication Type: Journal Articles; Reports - Descriptive
Education Level: N/A
Audience: N/A
Language: English
Sponsor: N/A
Authoring Institution: N/A