Optimized adaptive prediction

DOI10.1007/BF03178900zbMath1454.62261OpenAlexW2088814335MaRDI QIDQ5123722

Carlo Grillenzoni

Publication date: 29 September 2020

Published in: Journal of the Italian Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf03178900

zbMATH Keywords

extended Kalman filterrecursive least squaresconditional least squarestime-varying parameter modelsIBM stock price series

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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