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Communication Dans Un Congrès Année : 2014

Fast filter in non-linear systems with application to stochastic volatility model

Résumé

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
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Dates et versions

hal-01262462 , version 1 (26-01-2016)

Identifiants

  • HAL Id : hal-01262462 , version 1

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Stéphane Derrode, Wojciech Pieczynski. Fast filter in non-linear systems with application to stochastic volatility model. EUSIPCO 2014 : 22nd European Signal Processing Conference, Sep 2014, Lisbon, Portugal. pp.2410 - 2414. ⟨hal-01262462⟩
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