How do invariant transformations affect the calibration and optimization of the Kalman filtering algorithm used in the estimation of continuous-time affine term structure models? (Q2033711)
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scientific article; zbMATH DE number 7360555
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| English | How do invariant transformations affect the calibration and optimization of the Kalman filtering algorithm used in the estimation of continuous-time affine term structure models? |
scientific article; zbMATH DE number 7360555 |
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How do invariant transformations affect the calibration and optimization of the Kalman filtering algorithm used in the estimation of continuous-time affine term structure models? (English)
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17 June 2021
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dynamic affine term structure models
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Kalman filter
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Monte Carlo simulation
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invariant transformation
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stochastic process
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optimization
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