• DocumentCode
    149692
  • 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
  • fYear
    2014
  • fDate
    1-5 Sept. 2014
  • Firstpage
    2410
  • Lastpage
    2414
  • 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;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Signal Processing Conference (EUSIPCO), 2014 Proceedings of the 22nd European
  • Conference_Location
    Lisbon
  • Type

    conf

  • Filename
    6952882
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=149692