DocumentCode
3077619
Title
Improved unscented kalman smoothing for stock volatility estimation
Author
Zoeter, Onno ; Ypma, Alexander ; Heskes, Tom
Author_Institution
SNN, Nijmegen Univ.
fYear
2004
fDate
Sept. 29 2004-Oct. 1 2004
Firstpage
143
Lastpage
152
Abstract
We introduce a novel approximate inference algorithm for nonlinear dynamical systems. The algorithm is based upon expectation propagation and Gaussian quadrature. The first forward pass is strongly related to the unscented Kalman filter. It improves upon unscented Kalman filtering by only making Gaussian approximations in the latent and not in the observation space. Smoothed estimates can be found without inverting latent space dynamics and can be improved by iteration. Multiple forward and backward passes make it possible to improve local approximations and make them as consistent as possible. We demonstrate the validity of the approach with an interesting inference problem in stochastic stock volatility models. The traditional unscented Kalman filter is ill suited for this problem: it can be proven that the traditional filter effectively never updates prior beliefs. The novel algorithm gives good results and improves with iteration
Keywords
Gaussian processes; Kalman filters; inference mechanisms; iterative methods; nonlinear dynamical systems; smoothing methods; Gaussian quadrature; approximate inference algorithm; expectation propagation; first forward pass; improved unscented Kalman smoothing; latent space dynamics; nonlinear dynamical systems; stochastic stock volatility models; stock volatility estimation; Economic indicators; Filtering; Forward contracts; Gaussian approximation; Heuristic algorithms; Inference algorithms; Kalman filters; Probability distribution; Smoothing methods; Stochastic processes;
fLanguage
English
Publisher
ieee
Conference_Titel
Machine Learning for Signal Processing, 2004. Proceedings of the 2004 14th IEEE Signal Processing Society Workshop
Conference_Location
Sao Luis
ISSN
1551-2541
Print_ISBN
0-7803-8608-4
Type
conf
DOI
10.1109/MLSP.2004.1422968
Filename
1422968
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