Estimating doubly stochastic Poisson process with affine intensities by Kalman filter (Q2516623)
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scientific article; zbMATH DE number 6469305
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| English | Estimating doubly stochastic Poisson process with affine intensities by Kalman filter |
scientific article; zbMATH DE number 6469305 |
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Estimating doubly stochastic Poisson process with affine intensities by Kalman filter (English)
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3 August 2015
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doubly stochastic Poisson process
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affine diffusion
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Kalman filter
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order book
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0.9290631
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0.8920864
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0.8794066
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0.8761119
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0.8757019
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0.8744905
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