43 citations · 189 across the 12 of their papers we have counts for
9 papers · 1 filter
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…
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…