Stable and Efficient Cubature-based Filtering in Dynamical Systems

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Focusing on the calculation of d-dimensional integrals in filter problems, this book introduces innovative deterministic numerical integration methods designed to enhance the efficiency and stability of filter algorithms. These techniques enable improved estimates and predictions of latent variables, applicable across economics, engineering, and physics. The effectiveness of the proposed procedures is validated through four comprehensive simulation studies, demonstrating their practical utility in real-world scenarios.