On the calibration of the Schwartz two-factor model to WTI crude oil options and the extended Kalman Filter.
Christian-Oliver EwaldAihua ZhangZhe ZongPublished in: Ann. Oper. Res. (2019)
Keyphrases
- extended kalman filter
- crude oil
- kalman filter
- inertial sensors
- kalman filtering
- state estimation
- estimation accuracy
- computer simulation
- estimation process
- target tracking
- oil field
- particle filter
- training algorithm
- long run
- simultaneous localization and mapping
- back propagation
- neural network
- multilayer perceptron
- data fusion
- image processing
- feature selection
- computer vision
- genetic algorithm