A Quadratic Kalman Filter
Year of publication: |
July 2015
|
---|---|
Authors: | Monfort, Alain ; Renne, Jean-Paul ; Roussellet, Guillaume |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 187.2015, 1, p. 43-56
|
Subject: | Non-linear filtering | Non-linear smoothing | Quadratic model | Kalman filter | Quasi maximum likelihood | Theorie | Theory | Zustandsraummodell | State space model | Zeitreihenanalyse | Time series analysis | Nichtlineare Regression | Nonlinear regression |
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