A Gaussian-generalized inverse Gaussian finite-dimensional filter.
type: Item
instance of: scholarly article
title: A Gaussian-generalized inverse Gaussian finite-dimensional filter.
zbMATH Open document ID: 1056.93066
DOI: 10.1016/S0304-4149(99)00059-9
author: Marco Ferrante
author: Paolo Vidoni
published in: Stochastic Processes and their Applications
publication date: 2002-08-29T00:00:00Z
Mathematics Subject Classification ID: 93E11
Mathematics Subject Classification ID: 60G35
zbMATH DE Number: 1792555
zbMATH Keywords: finite dimensional filter
zbMATH Keywords: generalized hyperbolic distribution
zbMATH Keywords: generalized inverse Gaussian distribution
zbMATH Keywords: stochastic filtering
zbMATH Keywords: stochastic volatility
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 1792555