Filtering via estimating functions

DOI10.1016/S0893-9659(99)00058-0MaRDI QIDQ1808463zbMATH OpenFDO

Authors A. Thavaneswaran, Mary E. Thompson

Publication date 10 April 2003

Published in Applied Mathematics Letters (Search for Journal in Brave)

zbMATH Keywords

counting processesfilteringestimating functionsoptimal combination

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cites work

• scientific article; zbMATH DE number 3793150 (Why is no real title available?)
• scientific article; zbMATH DE number 3576395 (Why is no real title available?)
• A criterion for filtering in semimartingale models
• Filtering and Smoothing Via Estimating Functions
• Linear Bayes and optimal estimation
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• Optimal estimation for semimartingales

Cited in

(14)

• Conditional Moment Generating Functions for Integrals and Stochastic Integrals
• Modelling progressive filtering
• A higher order correlation unscented Kalman filter
• Filter Functions with Exponential Convergence Order
• Filtering With Heavy Tails
• scientific article; zbMATH DE number 721889 (Why is no real title available?)
• Recursive estimation for continuous time stochastic volatility models
• Set-values filtering and smoothing
• Minimal Extrapolations of Filters
• Nonlinear recursive estimation of volatility via estimating functions
• scientific article; zbMATH DE number 3864217 (Why is no real title available?)
• Combining estimating functions for volatility
• Optimal estimating function for estimation and prediction in semi-parametric models
• Filtering for a logistic equation

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