A quadratic Kalman filter
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Publication:494365
DOI10.1016/j.jeconom.2015.01.003zbMath1337.91150OpenAlexW3125297974MaRDI QIDQ494365
Alain Monfort, Guillaume Roussellet, Jean-Paul Renne
Publication date: 1 September 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.01.003
Statistical methods; risk measures (91G70) Filtering in stochastic control theory (93E11) Transition functions, generators and resolvents (60J35)
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