A Gaussian-generalized inverse Gaussian finite-dimensional filter.

DOI10.1016/S0304-4149(99)00059-9zbMath1056.93066MaRDI QIDQ1613659

Marco Ferrante, Paolo Vidoni

Publication date: 29 August 2002

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

stochastic volatilitystochastic filteringgeneralized inverse Gaussian distributiongeneralized hyperbolic distributionfinite dimensional filter

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

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Cites Work

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• On necessary conditions for the existence of finite-dimensional filters in discrete time
• Statistical properties of the generalized inverse Gaussian distribution
• Local scale models. State space alternative to integraded GARCH processes
• Processes of normal inverse Gaussian type
• Finite dimensional filters for nonlinear stochastic difference equations with multiplicative noises
• Hyperbolic distributions in finance
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• Exponential Family State Space Models Based on a Conjugate Latent Process

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