Filtering via estimating functions
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Publication:1808463
DOI10.1016/S0893-9659(99)00058-0zbMath1008.62096MaRDI QIDQ1808463
A. Thavaneswaran, Mary E. Thompson
Publication date: 10 April 2003
Published in: Applied Mathematics Letters (Search for Journal in Brave)
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (4)
Nonlinear recursive estimation of volatility via estimating functions ⋮ A higher order correlation unscented Kalman filter ⋮ Combining estimating functions for volatility ⋮ Recursive estimation for continuous time stochastic volatility models
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