The Kalman-Lévy filter

DOI10.1016/S0167-2789(01)00228-7zbMath1020.93025arXivcond-mat/0004369MaRDI QIDQ5942848

Didier Sornette, Kayo Ide

Publication date: 7 May 2002

Published in: Physica D (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0004369

zbMATH Keywords

Kalman filterLévy lawspower lawsresidual errorstail-covariance

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11)

Related Items (6)

The Kalman-Bucy filter for integrable Lévy processes with infinite second moment ⋮ Exponentially damped Lévy flights ⋮ Marginalized iterative ensemble smoothers for data assimilation ⋮ International finance, Lévy distributions, and the econophysics of exchange rates ⋮ Statistical signal extraction using stable processes ⋮ The algorithm of adaptive determination of amplification of the PD filter estimating object state on the basis of signal measurable on-line

Uses Software

• SYMSTB

Cites Work

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• Taming Large Events: Optimal Portfolio Theory for Strongly Fluctuating Assets
• Evaluation of convergence rate in the central limit theorem for the Kalman filter
• Optimal Filtering of a Gaussian Signal in the Presence of Lévy Noise

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