Fast filter in non-linear systems with application to stochastic volatility model

S. Derrode; W. Pieczynski

Fast filter in non-linear systems with application to stochastic volatility model

S. Derrode
, W. Pieczynski

Centre national de la recherche scientifique

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

Abstract

We consider the problem of optimal statistical filtering in nonlinear 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.

Original language	English
Title of host publication	2014 Proceedings of the 22nd European Signal Processing Conference, EUSIPCO 2014
Publisher	European Signal Processing Conference, EUSIPCO
Pages	2410-2414
Number of pages	5
ISBN (Electronic)	9780992862619
Publication status	Published - 10 Nov 2014
Event	22nd European Signal Processing Conference, EUSIPCO 2014 - Lisbon, Portugal Duration: 1 Sept 2014 → 5 Sept 2014

Publication series

Name	European Signal Processing Conference
ISSN (Electronic)	2076-1465

Conference

Conference	22nd European Signal Processing Conference, EUSIPCO 2014
Country/Territory	Portugal
City	Lisbon
Period	1/09/14 → 5/09/14

Keywords

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

Cite this

@inproceedings{3962aaf96c2c413e9944c317d54c3ca8,

title = "Fast filter in non-linear systems with application to stochastic volatility model",

abstract = "We consider the problem of optimal statistical filtering in nonlinear 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.",

keywords = "Conditionally Gaussian linear state-space model, Conditionally Markov switching hidden linear model, Filtering in switching systems, Non-linear systems, Optimal statistical filter, Stochastic volatility model",

author = "S. Derrode and W. Pieczynski",

note = "Publisher Copyright: {\textcopyright} 2014 EURASIP.; 22nd European Signal Processing Conference, EUSIPCO 2014 ; Conference date: 01-09-2014 Through 05-09-2014",

year = "2014",

month = nov,

day = "10",

language = "English",

series = "European Signal Processing Conference",

publisher = "European Signal Processing Conference, EUSIPCO",

pages = "2410--2414",

booktitle = "2014 Proceedings of the 22nd European Signal Processing Conference, EUSIPCO 2014",

}

Derrode, S & Pieczynski, W 2014, Fast filter in non-linear systems with application to stochastic volatility model. in 2014 Proceedings of the 22nd European Signal Processing Conference, EUSIPCO 2014., 6952882, European Signal Processing Conference, European Signal Processing Conference, EUSIPCO, pp. 2410-2414, 22nd European Signal Processing Conference, EUSIPCO 2014, Lisbon, Portugal, 1/09/14.

Fast filter in non-linear systems with application to stochastic volatility model. / Derrode, S.; Pieczynski, W.
2014 Proceedings of the 22nd European Signal Processing Conference, EUSIPCO 2014. European Signal Processing Conference, EUSIPCO, 2014. p. 2410-2414 6952882 (European Signal Processing Conference).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

TY - GEN

T1 - Fast filter in non-linear systems with application to stochastic volatility model

AU - Derrode, S.

AU - Pieczynski, W.

PY - 2014/11/10

Y1 - 2014/11/10

N2 - We consider the problem of optimal statistical filtering in nonlinear 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.

AB - We consider the problem of optimal statistical filtering in nonlinear 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.

KW - Conditionally Gaussian linear state-space model

KW - Conditionally Markov switching hidden linear model

KW - Filtering in switching systems

KW - Non-linear systems

KW - Optimal statistical filter

KW - Stochastic volatility model

M3 - Conference contribution

AN - SCOPUS:84911944594

T3 - European Signal Processing Conference

SP - 2410

EP - 2414

BT - 2014 Proceedings of the 22nd European Signal Processing Conference, EUSIPCO 2014

PB - European Signal Processing Conference, EUSIPCO

T2 - 22nd European Signal Processing Conference, EUSIPCO 2014

Y2 - 1 September 2014 through 5 September 2014

ER -

Fast filter in non-linear systems with application to stochastic volatility model

Abstract

Publication series

Conference

Keywords

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