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Multiplicative Kalman filtering

Fabienne Comte (), Valentine Genon-Catalot () and Mathieu Kessler ()

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2011, vol. 20, issue 2, 389-411

Keywords: Filtering; Discrete time observations; Hidden Markov Models; Parametric inference; Scale perturbation; 60G35; 62M05; 60J60 (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/s11749-010-0208-0

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TEST: An Official Journal of the Spanish Society of Statistics and Operations Research is currently edited by Alfonso Gordaliza and Ana F. Militino

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