43 citations · 189 across the 12 of their papers we have counts for
13 papers
Evolving efficiency of the BRICS markets
Maria V. Kulikova, David R. Taylor, Gennady Yu. Kulikov
This paper investigates a time-varying version of weak-form market efficiency in the BRICS countries. A moving window test for sample autocorrelations is applied alongside a Kalman…
Continuous-discrete derivative-free extended Kalman filter based on Euler-Maruyama and Itô-Taylor discretizations: Conventional and square-root implementations
Maria V. Kulikova, Gennady Yu. Kulikov
In this paper, we continue to study the derivative-free extended Kalman filtering (DF-EKF) framework for state estimation of continuous-discrete nonlinear stochastic systems. Havin…
UD-based pairwise and MIMO Kalman-like filtering for estimation of econometric model structures
Maria V. Kulikova, Julia V. Tsyganova, Gennady Yu. Kulikov
One of the modern research lines in econometrics studies focuses on translating a wide variety of structural econometric models into their state-space form, which allows for effici…
SVD-based factored-form Cubature Kalman Filtering for continuous-time stochastic systems with discrete measurements
Maria V. Kulikova, Gennady Yu. Kulikov
In this paper, a singular value decomposition (SVD) approach is developed for implementing the cubature Kalman filter. The discussed estimator is one of the most popular and widely…
Pattern Recognition Facilities of Extended Kalman Filtering in Stochastic Neural Fields
Maria V. Kulikova, Gennady Yu. Kulikov
In mathematical neuroscience, a special interest is paid to a working memory mechanism in the neural tissue modeled by the Dynamic Neural Field (DNF) in the presence of model uncer…
On derivative-free extended Kalman filtering and its Matlab-oriented square-root implementations for state estimation in continuous-discrete nonlinear stochastic systems
Maria V. Kulikova, Gennady Yu. Kulikov
Recent research in nonlinear filtering and signal processing has suggested an efficient derivative-free Extended Kalman filter (EKF) designed for discrete-time stochastic systems.…