A closed-form filter for binary time series
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Publication:2058780
DOI10.1007/s11222-021-10022-wzbMath1475.62030arXiv1902.06994OpenAlexW3173070367MaRDI QIDQ2058780
Daniele Durante, Augusto Fasano, Giovanni Rebaudo, Sonia Petrone
Publication date: 9 December 2021
Published in: Statistics and Computing (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1902.06994
Computational methods for problems pertaining to statistics (62-08) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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