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A Kalman particle filter for online parameter estimation with applications to affine models |
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| Authors: | He Jian Khedher Asma Spreij Peter |
| Affiliation: | 1.Korteweg-de Vries Institute, University of Amsterdam, PO Box 94248, 1090GE, Amsterdam, The Netherlands ;2.ABN AMRO Bank N.V., Amsterdam, The Netherlands ;3.IMAPP, Radboud University, Nijmegen, The Netherlands ; |
| Abstract: | Statistical Inference for Stochastic Processes - In this paper we address the problem of estimating the posterior distribution of the static parameters of a continuous-time state space model with... |
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