26 citations · 95 across the 8 of their papers we have counts for
8 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…
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…
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…
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…
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…
Estimation of market efficiency process within time-varying autoregressive models by extended Kalman filtering approach
Maria Kulikova, Gennady Kulikov
This paper explores a time-varying version of weak-form market efficiency that is a key component of the so-called Adaptive Market Hypothesis (AMH). One of the most common methodol…
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…