Title :
Fast filter in non-linear systems with application to stochastic volatility model
Author :
Derrode, Stephane ; Pieczynski, W.
Author_Institution :
LIRIS, Ecole Centrale Lyon, Ecully, France
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 :
filtering theory; statistical analysis; stochastic processes; fast optimal filtering; filter stochastic volatility model; nonGaussian system; nonlinear system; optimal statistical filtering; switching system; Abstracts; Markov processes; Switches; Zinc; 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;
Conference_Titel :
Signal Processing Conference (EUSIPCO), 2014 Proceedings of the 22nd European
Conference_Location :
Lisbon
