Robust Kalman Filter for High-Frequency Financial Data.
Tomás CipraRadek HendrychMichal CernýPublished in: WEA (1) (2018)
Keyphrases
- high frequency
- kalman filter
- financial data
- low frequency
- kalman filtering
- high resolution
- wavelet transform
- particle filter
- stock market
- object tracking
- extended kalman filter
- bankruptcy prediction
- state space model
- subband
- wavelet coefficients
- wavelet domain
- discrete wavelet transform
- stock price
- machine learning
- credit card
- high frequency components
- computer vision
- mean shift
- non stationary
- image data
- dynamic programming