Filtering

Filtering includes the estimation and forecasting of stochastic models. This includes the estimation of Hidden Markov Chains, State Space Models, Kalman Filtering and Ensemble Kalman Filtering.

Contact : John van der Hoek

Key publications

RJ Elliott, J van der Hoek & J Valencia, 'Nonlinear Filter Estimation of Volatility', Stochastic Analysis and Applications, 28:1-15, 2008.

P Malcolm, R Elliott & J van der Hoek, 'A deterministic discretization step upper bound for state estimation via Clark transformations', Journal of Applied Mathematics and Stochastic Analysis, 371-384, 2004.

RJ Elliott & J van der Hoek, 'Optimal linear estimation and data fusion', IEEE Transactions on Automatic Control, 51:686-689, 2006.

RJ Elliott, J van der Hoek & P Malcolm, 'Pairs Trading', Quantitative Finance, 5:271-276, 2005.

Areas of study and research

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