2006
DOI: 10.1007/11840930_16
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Applying REC Analysis to Ensembles of Sigma-Point Kalman Filters

Abstract: The Sigma-Point Kalman Filters (SPKF) is a family of filters that achieve very good performance when applied to time series. Currently most researches involving time series forecasting use the Sigma-Point Kalman Filters, however they do not use an ensemble of them, which could achieve a better performance. The REC analysis is a powerful technique for visualization and comparison of regression models. The objective of this work is to advocate the use of REC curves in order to compare the SPKF and ensembles of t… Show more

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Cited by 4 publications
(4 citation statements)
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“…In classification tasks, the receiver operating characteristic (ROC) curve is widely used as a useful tool for comparing and displaying classification results. Regression error characteristic (REC) curves are developed in the domain of regression for similar purpose as ROC [102][103][104][105] . The proportion of correctly predicted occurrences within a certain tolerance interval (y-axis) are shown versus the absolute deviation tolerance (x-axis) in REC curves.…”
Section: Regression Error Characteristic Curvementioning
confidence: 99%
“…In classification tasks, the receiver operating characteristic (ROC) curve is widely used as a useful tool for comparing and displaying classification results. Regression error characteristic (REC) curves are developed in the domain of regression for similar purpose as ROC [102][103][104][105] . The proportion of correctly predicted occurrences within a certain tolerance interval (y-axis) are shown versus the absolute deviation tolerance (x-axis) in REC curves.…”
Section: Regression Error Characteristic Curvementioning
confidence: 99%
“…For regression problems, usually the mean squared error of the ensemble is used. However, recent works [26] point the analysis of regression error characteristic curves as a technique more adequate to the selection of estimators in an ensemble.…”
Section: Methods To Select Componentsmentioning
confidence: 99%
“…It is only required that sufficient statistics are propagated for each particle. In this research we use SRUKF and SRCDKF as the importance density generators, since they showed to provide better approximations in previous works [26].…”
Section: Particle Filtersmentioning
confidence: 99%
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