3 papers
eess.SP2018
Adaptive Sparse-grid Gauss-Hermite Filter
Abhinoy Kumar Singh, Rahul Radhakrishnan, Shovan Bhaumik +1
In this paper, a new nonlinear filter based on sparse-grid quadrature method has been proposed. The proposed filter is named as adaptive sparse-grid Gauss-Hermite filter (ASGHF). O…
eess.SP2018
Particle Filter for Randomly Delayed Measurements with Unknown Latency Probability
Ranjeet Kumar Tiwari, Shovan Bhaumik, Paresh Date
This paper focuses on designing a particle filter for randomly delayed measurements with an unknown latency probability. A generalized measurement model is adopted which includes m…
q-fin.ST2009
Regime Switching Volatility Calibration by the Baum-Welch Method
Sovan Mitra
Regime switching volatility models provide a tractable method of modelling stochastic volatility. Currently the most popular method of regime switching calibration is the Hamilton…