2 papers
econ.EM2026
Filtering without recursion and some of its uses in financial economics
Simon Donker van Heel, Neil Shephard
We develop a filter for time series, defined at each time as the minimizer of a discounted convex combination of observed and expected losses. The filter can be estimated by si…
stat.ME2025
Exponentially weighted estimands and the exponential family: Filtering, prediction and smoothing
Simon Donker van Heel, Neil Shephard
We propose using a discounted version of a convex combination of the log-likelihood with the corresponding expected log-likelihood such that when they are maximized they yield a fi…