Another look at Bayes map iterated filtering
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DOI: 10.1016/j.spl.2016.05.013
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- Szczepocki Piotr, 2020. "Application of iterated filtering to stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck process," Statistics in Transition New Series, Statistics Poland, vol. 21(2), pages 173-187, June.
- Piotr Szczepocki, 2020. "Application of iterated filtering to stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck process," Statistics in Transition New Series, Polish Statistical Association, vol. 21(2), pages 173-187, June.
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Keywords
Iterated filtering; Bayes map; Hidden Markov model; Stochastic approximation; Time series;All these keywords.
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