Nonlinear continuous-discrete filtering using kernel density estimatesand functional integrals
DOI10.1080/00222500305888zbMath1024.62039OpenAlexW2083869377MaRDI QIDQ4409372
Publication date: 23 November 2003
Published in: The Journal of Mathematical Sociology (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00222500305888
Fokker-Planck equationMonte Carlo simulationsextended Kalman filterGinzburg-Landau equationfilteringkernel density estimatesstochastic volatility modelscontinuous-discrete state space modelsGaussian sum filterfunctional integral filter
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Cites Work
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