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-regularization of the Kalman Filter for exogenous outlier removal: Application to hedge funds analysis.

Emmanuelle JayPatrick DuvautSerge DarollesChristian Gouriéroux
Published in: CAMSAP (2011)
Keyphrases
  • kalman filter
  • kalman filtering
  • data analysis
  • high dimensional
  • target tracking
  • state estimation
  • machine learning
  • particle filter
  • particle filtering
  • autoregressive
  • state space model