A quadratic Kalman filter

DOI10.1016/j.jeconom.2015.01.003zbMath1337.91150OpenAlexW3125297974MaRDI QIDQ494365

Alain Monfort, Guillaume Roussellet, Jean-Paul Renne

Publication date: 1 September 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.01.003

zbMATH Keywords

Kalman filternonlinear filteringquasi maximum likelihoodnonlinear smoothingquadratic model

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Filtering in stochastic control theory (93E11) Transition functions, generators and resolvents (60J35)

Related Items

Staying at zero with affine processes: an application to term structure modelling, A Multifactor Polynomial Framework for Long-Term Electricity Forwards with Delivery Period, Recursive state estimation for stochastic nonlinear non-Gaussian systems using energy-harvesting sensors: a quadratic estimation approach

Uses Software

• ABC

Cites Work

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