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-regularization of the Kalman Filter for exogenous outlier removal: Application to hedge funds analysis.
Emmanuelle Jay
Patrick Duvaut
Serge Darolles
Christian Gouriéroux
Published in:
CAMSAP (2011)
Keyphrases
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kalman filter
kalman filtering
data analysis
high dimensional
target tracking
state estimation
machine learning
particle filter
particle filtering
autoregressive
state space model