TY - GEN
T1 - Fast filter in non-linear systems with application to stochastic volatility model
AU - Derrode, S.
AU - Pieczynski, W.
N1 - Publisher Copyright:
© 2014 EURASIP.
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 -