An efficient estimation procedure for conditionally linear and Gaussian state space models is developed. Efficient importance sampling together with a Rao-Blackwellization step are used to construct a highly efficient estimation method that produces continuous approximations to the likelihood...

The GARCH diffusion model has attracted a great deal of attention in recent years, as it is able to describe financial time series better, when comparing to many other models. This paper considers the problem of warrant pricing when the underlying asset follows the GARCH diffusion model. An...

Identifying the current location of a robot is a prerequisite for robot navigation. To localize a robot, one popular way is to use particle filters that estimate the posterior probabilistic density of a robot's state space. But this Bayesian recursion approach is computationally expensive. Most...

Infertility is an important issue for many couples and male infertility is highly related to semen and spermatozoa which can be surveyed by means of semen/sperm analysis. Many fertility assessment laboratories are now equipped with automatic systems called Computer Aided Semen/Sperm Analysis...