Lissage rapide dans des modèles non linéaires et non gaussiens

Abstract : We consider here the problem of statistical ltering and smoothing in nonlinear non-Gaussian systems. The novelty consists in approximating the nonlinear system by a recent switching system, in which exact fast optimal ltering and smoothing are workable. Our methods are applied to an asymetric stochastic volatility model and some experiments show their eciency.
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https://hal.archives-ouvertes.fr/hal-01169898
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Submitted on : Friday, July 3, 2015 - 6:09:02 AM
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Ivan Gorynin, Stéphane Derrode, Emmanuel Monfrini, Wojciech Pieczynski. Lissage rapide dans des modèles non linéaires et non gaussiens. GRETSI'2015, Sep 2015, Lyon, France. ⟨hal-01169898⟩

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