SVD-based state and parameter estimation approach for generalized Kalman filtering with application to GARCH-in-Mean estimation (Q2223799)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | SVD-based state and parameter estimation approach for generalized Kalman filtering with application to GARCH-in-Mean estimation |
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SVD-based state and parameter estimation approach for generalized Kalman filtering with application to GARCH-in-Mean estimation (English)
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3 February 2021
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state-space models
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Kalman filter
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parameter estimation
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singular value decomposition
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volatility modeling
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