Filtering for partially observed diffusion and its applications

Isao Shoji

Physica A: Statistical Mechanics and its Applications, 2013, vol. 392, issue 20, 4966-4976

Abstract: This paper provides an analytic method of filtering for partially observed diffusions, which can be also used for parameter estimation with the quasi-maximum likelihood method. The filtering is shown to have consistency in a weak sense. In addition, using the stochastic volatility models, a comparative simulation study is carried out to see how well the proposed method numerically works. The performance of the proposed method is basically better than that of the extended Kalman filtering.

Keywords: Filtering; Conditional moments; Parameter estimation; Partially observed diffusion (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:392:y:2013:i:20:p:4966-4976

DOI: 10.1016/j.physa.2013.06.005

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