Improved unscented Kalman smoothing for stock volatility estimation

Machine Learning for Signal Processing XIV - Proceedings of the 2004 IEEE Signal Processing Society Workshop

Volumn , Issue , 2004, Pages 143-152

  Zoeter, Onno ^a   Ypma, Alexander ^a   Heskes, Tom ^a  

^a RADBOUD UNIVERSITY NIJMEGEN   (Netherlands)

Author keywords

[No Author keywords available]

Indexed keywords

ALGORITHMS; APPROXIMATION THEORY; FUNCTIONS; ITERATIVE METHODS; KALMAN FILTERING; MATHEMATICAL MODELS; NONLINEAR SYSTEMS;

GAUSSIAN APPROXIMATION (GA); GAUSSIAN QUADRATURE; KALMAN SMOOTHING; STOCK VOLATILITY ESTIMATION;

ESTIMATION;

EID: 17644424699     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (9)

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