80 citations · 455 across the 20 of their papers we have counts for
20 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.…
MATLAB-based general approach for square-root extended-unscented and fifth-degree cubature Kalman filtering methods
Maria V. Kulikova, Gennady Yu. Kulikov
A stable square-root approach has been recently proposed for the unscented Kalman filter (UKF) and fifth-degree cubature Kalman filter (5D-CKF) as well as for the mixed-type method…
Square-root filtering via covariance SVD factors in the accurate continuous-discrete extended-cubature Kalman filter
Maria V. Kulikova, Gennady Yu. Kulikov
This paper continues our research devoted to an accurate nonlinear Bayesian filters' design. Our solution implies numerical methods for solving ordinary differential equations (ODE…
Factored-form Kalman-like implementations under maximum correntropy criterion
Maria V. Kulikova
The maximum correntropy criterion (MCC) methodology is recognized to be a robust filtering strategy with respect to outliers and shown to outperform the classical Kalman filter (KF…
On the stable Cholesky factorization-based method for the maximum correntropy criterion Kalman filtering
Maria V. Kulikova
This paper continues the research devoted to the design of numerically stable square-root implementations for the maximum correntropy criterion Kalman filtering (MCC-KF). In contra…
Chandrasekhar-based maximum correntropy Kalman filtering with the adaptive kernel size selection
Maria Kulikova
This technical note is aimed to derive the Chandrasekhar-type recursion for the maximum correntropy criterion (MCC) Kalman filtering (KF). For the classical KF, the first Chandrase…
One-step condensed forms for square-root maximum correntropy criterion Kalman filtering
Maria Kulikova
This paper suggests a few novel Cholesky-based square-root algorithms for the maximum correntropy criterion Kalman filtering. In contrast to the previously obtained results, new al…
Continuous-discrete unscented Kalman filtering framework by MATLAB ODE solvers and square-root methods
Maria Kulikova, Gennady Kulikov
This paper addresses the problem of designing the {\it continuous-discrete} unscented Kalman filter (UKF) implementation methods. More precisely, the aim is to propose the MATLAB-b…
SVD-based Kalman Filter Derivative Computation
Julia V. Tsyganova, Maria V. Kulikova
Recursive adaptive filtering methods are often used for solving the problem of simultaneous state and parameters estimation arising in many areas of research. The gradient-based sc…
State Sensitivity Evaluation Within UD Based Array Covariance Filters
Julia V. Tsyganova, Maria V. Kulikova
This technical note addresses the UD factorization based Kalman filtering (KF) algorithms. Using this important class of numerically stable KF schemes, we extend its functionality…
Improved Discrete-Time Kalman Filtering within Singular Value Decomposition
Maria V. Kulikova, Julia V. Tsyganova
The paper presents a new Kalman filter (KF) implementation useful in applications where the accuracy of numerical solution of the associated Riccati equation might be crucially red…
Square-root algorithms for maximum correntropy estimation of linear discrete-time systems in presence of non-Gaussian noise
Maria V. Kulikova
Recent developments in the realm of state estimation of stochastic dynamic systems in the presence of non-Gaussian noise have induced a new methodology called the maximum correntro…
Likelihood Gradient Evaluation Using Square-Root Covariance Filters
Maria V. Kulikova
Using the array form of numerically stable square-root implementation methods for Kalman filtering formulas, we construct a new square-root algorithm for the log-likelihood gradien…
Do the Contemporary Cubature and Unscented Kalman Filtering Methods Outperform Always the Traditional Extended Kalman Filter?
G. Yu. Kulikov, M. V. Kulikova
This brief technical note elaborates three well-known state estimators, which are used extensively in practice. These are the rather old-fashioned extended Kalman filter (EKF) and…
Constructing numerically stable Kalman filter-based algorithms for gradient-based adaptive filtering
Maria V. Kulikova, Julia V. Tsyganova
This paper addresses the numerical aspects of adaptive filtering (AF) techniques for simultaneous state and parameters estimation arising in the design of dynamic positioning syste…