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Svd-Based State and Parameter Estimation Approach for Generalized Kalman Filtering with Application to Garch-In-Mean Estimation

AuthID
P-00R-3X3

Author(s)

Kulikova, MV

Tsyganova, JV

Kulikov, GY

Document Type

Article

Year published

2021

Published

in JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, ISSN: 0377-0427

Volume: 387, Pages: 112487 (12)

Conference

15Th Seminar on the Numerical Solution of Differential and Differential-Algebraic Equations (Numdiff), Date: SEP 03-07, 2018, Location: Martin Luther Univ Halle Wittenberg, Halle, GERMANY, Host: Martin Luther Univ Halle Wittenberg

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Publication Identifiers

DOI: 10.1016/j.cam.2019.112487

Scopus: 2-s2.0-85072700058

Wos: WOS:000614702800019

Source Identifiers

ISSN: 0377-0427

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Svd-Based State and Parameter Estimation Approach for Generalized Kalman Filtering with Application to Garch-In-Mean Estimation

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