Results 101 to 110 of about 15,255 (305)
Simple and extended Kalman filters : an application to term structures of commodity prices. [PDF]
This article presents and compares two different Kalman filters. These methods provide a very interesting way to cope with the presence of non-observable variables, which is a frequent problem in finance. They are also very fast even in the presence of a
Lautier, Delphine, Galli, Alain
core
Nowcasting World Trade With Machine Learning: A Three‐Step Approach
Journal of Forecasting, EarlyView.ABSTRACT We nowcast world trade using machine learning, distinguishing between tree‐based methods (random forest and gradient boosting) and their linear‐regression‐based counterparts (macroeconomic random forest and gradient boosting—linear). While much less used in the literature, the latter are found to outperform not only the tree‐based techniques ...
Menzie Chinn +2 more
wiley +1 more source
Improved Frequency-selective Filters [PDF]
This paper gives an account of some techniques for designing recursive frequency-selective filters which can be applied to data sequences of limited duration which may be nonstationary.
Stephen Pollock
core
Observation-centered Kalman filters
, 2019 Various methods have been proposed for the nonlinear filtering problem, including the extended Kalman filter (EKF), iterated extended Kalman filter (IEKF), unscented Kalman filter (UKF) and iterated unscented Kalman filter (IUKF).
Kent, JT +3 more
core +1 more source
Time‐Varying Skewness–Kurtosis Dynamics in Bitcoin Markets
Journal of Futures Markets, EarlyView.ABSTRACT This paper examines the relationship between skewness and kurtosis in Bitcoin spot and futures markets using high‐frequency data. We document a strong convex skewness–kurtosis relationship consistent with theoretical moment restrictions. Trading activity is positively associated with realized kurtosis, particularly in futures markets, though ...
Ariston Karagiorgis, Antonis Ballis
wiley +1 more source
Comparative evaluation of filters used in tracking air targets
Научный вестник МГТУ ГА, 2016 Using an imitation model for a flow of heterogeneous air targets the comparative assessment of the αβ, αβγ and the Kalman filters efficiency is evaluated.
Y. I. Strekalovskaya
doaj
Extended Kalman Filter Modifications Based on an Optimization View Point [Elektronisk resurs]
, 2015 The extended Kalman filter (EKF) has been animportant tool for state estimation of nonlinear systems sinceits introduction. However, the EKF does not possess the same optimality properties as the Kalman filter, and may perform poorly.
Axehill, Daniel, +2 more
core
Trainable COSFIRE filters for vessel delineation with application to retinal images [PDF]
, 2015 Retinal imaging provides a non-invasive opportunity for the diagnosis of several medical pathologies. The automatic segmentation of the vessel tree is an important pre-processing step which facilitates subsequent automatic processes that contribute to ...
Petkov, Nicolai, Azzopardi, George
core +1 more source
The Sector Liquidity Timing Ability of Bond Mutual Funds
International Journal of Finance &Economics, EarlyView.ABSTRACT We investigate whether bond mutual fund managers exhibit market liquidity timing skills in the U.S. corporate bond market. At the portfolio level, we find only weak evidence that bond funds adjust their overall market exposure in anticipation of changes in corporate bond market liquidity.
Zhengnan Yin +3 more
wiley +1 more source
Non-Gaussian Filters for Nonlinear Continuous-Discrete Models
SICE Journal of Control, Measurement, and System Integration, 2017 In this paper, we propose using an ensemble Kalman filter (EnKF) and particle filters (PFs) to obtain superior state estimation accuracy for nonlinear continuous-discrete models. We discretize the Ito-type stochastic differential system model by means of
Masaya Murata, Kaoru Hiramatsu
doaj +1 more source