A higher order correlation unscented Kalman filter
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Publication:2453299
DOI10.1016/j.amc.2013.03.019zbMath1287.93093arXiv1207.4300OpenAlexW2963462742MaRDI QIDQ2453299
Publication date: 6 June 2014
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1207.4300
nonlinear systemsvolatility estimationunscented Kalman filtercontinuous-discrete state spaceestimation of uncorrelated statessequential parameter estimation
Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10)
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