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
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
- Health Research
- Alliance for Research in Exercise, Nutrition and Activity (ARENA)
- Centre for Cancer Biology
- Centre for Drug Discovery and Development
- Centre for Population Health Research
- Centre of Research Excellence for the Prevention of Chronic Conditions in Rural and Remote High Risk Populations
- International Centre for Allied Health Evidence
- Medicine and Device Surveillance CRE
- Quality Use of Medicines and Pharmacy Research Centre
and Social Sciences
- Art, Architecture and Design
- Communication, International Studies and Languages
- Psychology, Social Work and Social Policy
- Hawke Research Institute
- Asia Pacific Centre for Work Health and Safety
- Australian Centre for Child Protection
- Barbara Hardy Institute
- Centre for Research in Education
- Hawke EU Jean Monnet Centre of Excellence
- Centre for Islamic Thought and Education
- International Centre for Muslim and non-Muslim Understanding
- Research Centre for Languages and Cultures
- Zero Waste SA Research Centre for Sustainable Design and Behaviour (sd+b)
IT, Engineering and
- Future Industries Institute
- UniSA College