JSTOR Daily

UNIFORM CONVERGENCE OVER TIME OF A NESTED PARTICLE FILTERING SCHEME FOR RECURSIVE PARAMETER ESTIMATION IN STATE-SPACE MARKOV MODELS

We analyse the performance of a recursive Monte Carlo method for the Bayesian estimation of the static parameters of a discrete-time state-space Markov model. The algorithm employs two layers of ...
Risk

Recursive estimation of the exponentially weighted moving average model

The exponentially weighted moving average (EWMA) model is a particular modeling scheme, supported by RiskMetrics, that is capable of forecasting the current level of volatility of financial time ...
JSTOR Daily

Robust Recursive Estimation in the Presence of Heavy-Tailed Observation Noise

This is a preview. Log in through your library . Abstract Under the usual assumptions of normality, the recursive estimator known as the Kalman filter gives excellent results and has found an ...
Nature

Multi-Target Tracking Algorithms and Filters

Multi-target tracking algorithms and filters underpin a broad spectrum of modern sensing applications by providing robust methodologies to estimate the trajectories of multiple moving objects amid ...