computationally efficient filtering algorithm to estimate the non-linear model. Calculations are greatly simplified by appropriate … augmentation of the transition equation and exploiting the conditionally linear and Gaussian structure. The algorithm is shown to …

We present a forecasting algorithm based on support vector regression emphasizing the practical benefits of wavelets … for financial time series. We utilize an effective de-noising algorithm based on wavelets feasible under the assumption … that a systematic pattern plus random noise generate the data. The learning algorithm focuses solely on the decomposed time …

and other central banks. We overviewed the Stratonovich-Kalman-Bucy filtering algorithm theory and its numerous … algorithm in the state space interpolation model is used with the purpose to interpolate the real GDP by the US Federal Reserve … of state space methods with the Stratonovich-Kalman-Bucy filtering algorithm, focusing on the estimation of Gross …

this paper, we introduce the local linear scaling approximation (in short, LLSA), which is a nonlinear filtering algorithm …

decomposition algorithm) that allows us to deconstruct price series into the true efficient price and microstructure noise …