Non-linear filtering with discontinuous observations and applications to life sciences
โ Scribed by Giovanni B. Di Masi; Wolfgang J. Runggaldier
- Book ID
- 108393488
- Publisher
- Springer
- Year
- 1983
- Tongue
- English
- Weight
- 353 KB
- Volume
- 45
- Category
- Article
- ISSN
- 1522-9602
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
We extend the linear filtering method of Monte Carlo simulation, introduced in a previous paper, to two models where the quadratic approximation to the action does not hold. The first model considered is the quantum anharmonic oscillator with the double well potential V=(x 2 -x~)2on a time lattice o
This paper develops a new method for the analysis of stochastic volatility (SV) models. Since volatility is a latent variable in SV models, it is dicult to evaluate the exact likelihood. In this paper, a non-linear ยฎlter which yields the exact likelihood of SV models is employed. Solving a series of