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 widely used in sequential data assimila...
Statistics and probability
- 2019 •
- Jimp •
- Link
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Jimp - Článek v periodiku v databázi Web of Science
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
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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
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D - Stať ve sborníku
Výsledek na webu
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
Optimal Monetary Policy under Discretion
simultaneously by the "Iterative Kalman filter Smoother".
AH - Ekonomie
- 2003 •
- D
Rok uplatnění
D - Stať ve sborníku
Application of the Kalman Filter/Smoother for accurate material characterization of planar dielectric samples by using free-space measurements at sub-THz frequencies
The Kalman Filter/Smoother, as a new post-calibration technique, has been successfully applied for accurate relative complex permittivity epsr extraction of planar dielectric samples using sub-THz free-space transmission sc...
Electrical and electronic engineering
- 2023 •
- Jimp •
- Link
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Jimp - Článek v periodiku v databázi Web of Science
Výsledek na webu
A Model Interpretation of the Czech Inflation Targeting and the Monetary Policy
to the generalized Taylor rule. A suitable method for solving the model is the Kalman filter evaluating a likelihood function and the Kalman smoother evaluating a time series......
AH - Ekonomie
- 2005 •
- D
Rok uplatnění
D - Stať ve sborníku
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