Microinformation, Nonlinear Filtering, and Granularity
نویسندگان
چکیده
منابع مشابه
Microinformation, Nonlinear Filtering and Granularity
The recursive prediction and filtering formulas of the Kalman filter are difficult to implement in nonlinear state space models. For Gaussian linear state space models, or for models with qualitative state variables, the recursive formulas of the filter require the updating of a finite number of summary statistics. However, in the general framework a function has to be updated, which makes the ...
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ژورنال
عنوان ژورنال: Journal of Financial Econometrics
سال: 2011
ISSN: 1479-8409,1479-8417
DOI: 10.1093/jjfinec/nbr010