Nonlinear filters. Estimation and applications

zbMath0786.93091MaRDI QIDQ1308582

Hisashi Tanizaki

Publication date: 21 November 1993

Published in: Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)

zbMATH Keywords

filtering methodsKalman filter modelmodified Kitagawa estimatorMonte-Carlo simulation filtersimulation-based density estimator

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Economic time series analysis (91B84)

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Interest rate futures: estimation of volatility parameters in an arbitrage-free framework ⋮ Nonlinear and non-Gaussian state-space modeling with Monte Carlo simulations ⋮ Nonlinear and nonnormal filters using Monte Carlo methods ⋮ Estimation of unknown parameters in nonlinear and non-Gaussian state-space models ⋮ Bayes factor estimation for nonlinear dynamic state space models

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