FAST FILTER IN NON-LINEAR SYSTEMS WITH APPLICATION TO STOCHASTIC VOLATILITY MODEL

被引：0

作者：

Derrode, S. ^{[1
]}

Pieczynski, W. ^{[2
]}

机构：

[1] Ecole Cent Lyon, CNRS UMR 5205, LIRIS, F-69134 Ecully, France

[2] Telecom SudParis, Inst Mines Telecom, CITI Dept, CNRS UMR 5157, F-91011 Evry, France

来源：

2014 PROCEEDINGS OF THE 22ND EUROPEAN SIGNAL PROCESSING CONFERENCE (EUSIPCO) | 2014年

关键词：

Non-linear systems; Stochastic volatility model; Optimal statistical filter; Conditionally Gaussian linear state-space model; Conditionally Markov switching hidden linear model; Filtering in switching systems;

D O I：

暂无

中图分类号：

TM [电工技术]; TN [电子技术、通信技术];

学科分类号：

0808 ; 0809 ;

摘要：

We consider the problem of optimal statistical filtering in non-linear and non-Gaussian systems. The novelty consists of approximating the non-linear system by a recent switching system, in which exact fast optimal filtering is workable. The new method is applied to filter stochastic volatility model and some experiments show its efficiency.

引用

页码：2410 / 2414

页数：5

共 50 条

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