Lissage rapide dans des modèles non linéaires et non gaussiens
نویسندگان
چکیده
We consider here the problem of statistical filtering and smoothing in nonlinear non-Gaussian systems. The novelty consists in approximating the nonlinear system by a recent switching system, in which exact fast optimal filtering and smoothing are workable. Our methods are applied to an asymetric stochastic volatility model and some experiments show their efficiency.
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تاریخ انتشار 2017