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Statistics, Optimization and Information Computing(2)
Austrian Journal of Statistics(1)
Smart Innovation, Systems and Technologies(1)
Approximations of the solutions of a stochastic differential equation using dirichlet process mixtures and gaussian mixtures
ArticleAbstract: Stochastic differential equations arise in a variety of contexts. There are many techniques for apprPalabras claves:Gaussian mixtures filter, Gaussian particle filter, Nonparametric particle filterAutores:Aracelis Hernández, Luis Sánchez, Luna C., Saba Rafael InfanteFuentes:scopusEstimation of stochastic volatility models using optimized filtering algorithms
ArticleAbstract: In this paper, we describe and implement two recursive filtering algorithms, the optimized particlePalabras claves:Optimized particle filter, Stochastic volatility models, Viterbi algorithmAutores:Aracelis Hernández, Luis Sánchez, Luna C., Saba Rafael InfanteFuentes:scopusUnscented Kalman Filter and Gauss-Hermite Kalman Filter for Range-Bearing Target Tracking
Conference ObjectAbstract: Radar systems are used for estimating the position and velocity of aircraft and ships from range andPalabras claves:Gauss-Hermite Kalman filter, Target tracking, Unscented kalman filterAutores:Aracelis Hernández, Gabriel Barragán, Saba Rafael InfanteFuentes:scopusSequential Monte Carlo Filters with Parameters Learning for Commodity Pricing Models
ArticleAbstract: In this article, an estimation methodology based on the sequential Monte Carlo algorithm is proposedPalabras claves:Commodities Pricess, Heston Model, Parameter Learning Algorithm, Schwartz Single-Factor Model, Stochastic ModelsAutores:Aracelis Hernández, Luis Sánchez, Marcano J., Saba Rafael InfanteFuentes:googlescopus