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stat.AP2017
Analysis, detection and correction of misspecified discrete time state space models
Salima El Kolei, Frédéric Patras
Misspecifications (i.e. errors on the parameters) of state space models lead to incorrect inference of the hidden states. This paper studies weakly nonlin-ear state space models wi…
stat.AP2012
Parametric estimation of hidden stochastic model by contrast minimization and deconvolution: application to the Stochastic Volatility Model
Salima El Kolei
We study a new parametric approach for particular hidden stochastic models such as the Stochastic Volatility model. This method is based on contrast minimization and deconvolution.…