A Self-Organizing State-Space Model

Abstract

A self-organizing filter and smoother for the general nonlinear non-Gaussian state-space model is proposed. An expanded state-space model is defined by augmenting the state vector with the unknown parameters of the original state-space model. The state of the augmented state-space model, and hence the state and the parameters of the original state-space model, are estimated simultaneously by either a non-Gaussian filter/smoother or a Monte Carlo filter/smoother. In contrast to maximum likelihood estimation of model parameters in ordinary state-space modeling, for which the recursive filter computation has to be done many times, model parameter estimation in the proposed self-organizing filter/smoother is achieved with only two passes of the recursive filter and smoother operations. Examples such as automatic tuning of dispersion and the shape parameters, adaptation to changes of the amplitude of a signal in seismic data, state estimation for a nonlinear state space model with unknown parameters. and seasonal adjustment with a nonlinear model with changing variance parameters are shown to exemplify the usefulness of the proposed method.