Print Email Facebook Twitter Probability density estimation in stochastic environmental models using reverse representations Title Probability density estimation in stochastic environmental models using reverse representations Author Van den Berg, E. Heemink, A.W. Lin, H.X. Schoenmakers, J.G.M. Faculty Electrical Engineering, Mathematics and Computer Science Date 2003 Abstract The estimation of probability densities of variables described by systems of stochastic dierential equations has long been done using forward time estimators, which rely on the generation of realizations of the model, forward in time. Recently, an estimator based on the combination of forward and reverse time estimators has been developed. This estimator has a higher order of convergence than the classical approach. In this article, we explore the new estimator and compare the forward and forward-reverse estimators by applying them to a biochemical oxygen demand model. Finally, we show that the computational complexity of the forward-reverse estimator is superior to the classical approach, and discuss the algorithmic aspects of the estimator. To reference this document use: http://resolver.tudelft.nl/uuid:46458711-e2e6-4617-9146-d2cb5b1bafbd Publisher Delft University of Technology, Faculty of Electrical Engineering, Mathematics and Computer Science, Delft Institute of Applied Mathematics ISSN 1389-6520 Source Reports of the Department of Applied Mathematical Analysis, 03-06 Part of collection Institutional Repository Document type report Rights (c) 2003 Department of Applied Mathematical Analysis Files PDF berg-03-06.pdf 309.72 KB Close viewer /islandora/object/uuid:46458711-e2e6-4617-9146-d2cb5b1bafbd/datastream/OBJ/view