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Research Project: Particle filters and their application to target tracking and detection
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2013

Saha, S. and Mandal, P.K. and Bagchi, A. and Boers, Y. and Driessen, J.N. (2013) Particle based smoothed marginal MAP estimation for general state space models. IEEE Transactions on Signal Processing, 61 (2). pp. 264-273. ISSN 1053-587X *** ISI Impact 2,624 ***

2009

Aihara, S.I. and Bagchi, A. and Saha, S. (2009) On parameter estimation of stochastic volatility models from stock data using particle filter - Application to AEX index -. International Journal of Innovative Computing, Information and Control, 5 (1). pp. 17-27. ISSN 1349-4198
Saha, S. (2009) Topics in Particle Filtering and Smoothing. PhD thesis, University of Twente. ISBN 978-90-365-2864-1
Saha, S. and Boers, Y. and Driessen, J.N. and Mandal, P.K. and Bagchi, A. (2009) Particle filter based MAP state estimation: A comparison. In: Proceedings of 12th International Conference on Information Fusion 2009, 06-09 July, 2009, Seattle, USA. pp. 278-283. International Society of Information Fusion. ISBN 978-0-9824438-0-4
Saha, S. and Mandal, P.K. and Bagchi, A. and Boers, Y. and Driessen, J.N. (2009) Parameter estimation in a general state space model from short observation data: A SMC based approach. In: Proceedings of the 2009 IEEE/SP 15th Workshop on Statistical Signal Processing, 31 Aug - 03 Sep 2009, Cardiff, UK. pp. 41-44. IEEE. ISBN 978-1-4244-2710-9
Saha, S. and Mandal, P.K. and Boers, Y. and Driessen, H. and Bagchi, A. (2009) Gaussian proposal density using moment matching in SMC methods. Statistics and Computing, 19 (2). pp. 203-208. ISSN 0960-3174 *** ISI Impact 1,786 ***

2008

Aihara, S.I. and Bagchi, A. and Saha, S. (2008) Estimating volatility and model parameters of stochastic volatility models with jumps using particle filter. In: 17th IFAC World Congress, 06-11 July 2008, Seoul. pp. 6490-6495. IFAC. ISBN 978-3-902661-00-5
Saha, S. and Mandal, P.K. and Bagchi, A. (2008) A new approach to particle based smoothed marginal MAP. In: 16th European Signal Processing Conference (EUSIPCO 2008), 25-29 August 2008, Lausanne, Switzerland. 1569102598. EURASIP, European Association for Signal, Speech and Image Processing. ISBN 978-2-8399-0450-6
Saha, S. and Mandal, P.K. and Bagchi, A. and Boers, Y. and Driessen, H. (2008) On the Monte Carlo marginal MAP estimator for general state space models. Memorandum 1887, Department of Applied Mathematics, University of Twente, Enschede. ISSN 1874-4850

2007

Saha, S. and Mandal, P.K. and Boers, Y. and Driessen, H. and Bagchi, A. (2007) Gaussian proposal density using moment matching in SMC methods. Memorandum 1832, Department of Applied Mathematics, University of Twente, Enschede. ISSN 1874-4850

2006

Saha, S. and Mandal, P.K. and Boers, Y. and Driessen, H. (2006) Exact moment matching for efficient importance functions in SMC methods. In: Proceedings of Nonlinear Statistical Signal Processing Workshop (NSSPW): Classical, Unscented and Particle Filtering Methods, 2006 IEEE, 13-15 Sept 2006, Cambridge, UK. 14. IEEE. ISBN 1-4244-0579-3