SVD-based state and parameter estimation approach for generalized Kalman filtering with application to GARCH-in-Mean estimation (Q2223799)
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scientific article; zbMATH DE number 7305170
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| English | SVD-based state and parameter estimation approach for generalized Kalman filtering with application to GARCH-in-Mean estimation |
scientific article; zbMATH DE number 7305170 |
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SVD-based state and parameter estimation approach for generalized Kalman filtering with application to GARCH-in-Mean estimation (English)
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3 February 2021
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state-space models
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Kalman filter
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parameter estimation
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singular value decomposition
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volatility modeling
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0.7712947130203247
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0.7556270956993103
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0.7495086193084717
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0.7305871844291687
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