Filters
On the convergence of a non-linear ensemble Kalman smoother
Ensemble methods, such as the ensemble Kalman filter (EnKF), the local ensemble transform Kalman filter (LETKF), and the ensemble Kalman smoother (EnKS) are wid...
Statistics and probability
- 2019 •
- Jimp •
- Link
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Jimp - Článek v periodiku v databázi Web of Science
Výsledek na webu
Hybrid Levenberg–Marquardt and Weak-Constraint Ensemble Kalman Smoother Method
The ensemble Kalman smoother (EnKS) is used as a linear least-squares solver in the Gauss-Newton method for the large nonlinear least-squares system in incremental 4DVAR. The ensemble approach is naturally parallel...
IN - Informatika
- 2016 •
- Jx •
- Link
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Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Výsledek na webu
The Iterative Kalman Filter Smoother and Its Applications
The Iterative kalman Filter Smoother is the method for estimation of initial states and parametrers of models in the state space form. Tis estimation proedure is described in the paper along with its basic properties....
AH - Ekonomie
- 2002 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Monetary Policy Application of the Constrained Kalman Filter
Iterative Kalman Filter Smoother is used to estimate states of the dynamic system. This paper presents an analytic method of incorporating state constraints into the Kalman Filter as it was researched by D...
AH - Ekonomie
- 2004 •
- D
Rok uplatnění
D - Stať ve sborníku
Application of the constrained Kalman filter in a monetary policy area
Iterative Kalman Filter Smoother is used to estimate states of the dynamic system. This paper presents an analytic method of incorporating state constraints into the Kalman Filter as it was researched by D...
AH - Ekonomie
- 2004 •
- D
Rok uplatnění
D - Stať ve sborníku
Comparison of stochastic volatility estimates: Analysis of S&P 500
Basic themes of document: stochastic volatility; S&P 500; Kalman filter smoother...
Statistics and probability
- 2017 •
- D •
- Link
Rok uplatnění
D - Stať ve sborníku
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Robust Estimators of Stochastic Volatility: Analysis of S&P 500
Basic themes of document: stochastic volatility; S&P 500; Kalman filter smoother; importance sampling...
Statistics and probability
- 2018 •
- D •
- Link
Rok uplatnění
D - Stať ve sborníku
Výsledek na webu
Kalman Filter Modification for Identification Stochastic Economic Systems with Unobserved and Nonstationary Variables
The Iterative Kalman filter Smoother (IKFS) is the method for estimation of initial states and parameters of models in the state space form. This estimation procedure is described in the paper along with its basic propertie...
AH - Ekonomie
- 2003 •
- D
Rok uplatnění
D - Stať ve sborníku
Convergence of the Square Root Ensemble Kalman Filter in the Large Ensemble Limit
filters used in practice, such as the ensemble transform Kalman filter, the ensemble and covariance of an unbiased ensemble square root filter converge to those of the Kalman
IN - Informatika
- 2015 •
- Jx •
- Link
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Výsledek na webu
Ensemble Kalman Filter
The ensemble Kalman filter (EnFK) has recently become one of the most popular methods for high dimensional data assimilation and it is widely used in many approximation to the extended Kalman filter, which...
BB - Aplikovaná statistika, operační výzkum
- 2011 •
- D
Rok uplatnění
D - Stať ve sborníku
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