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Search: subject:"Non observable data"
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Commodity prices
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Extended Kalman filter
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Lautier, Delphine
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Université Paris-Dauphine (Paris IX)
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The Kalman filter in finance: An application to term structure models of commodity prices and a comparison between the simple and the extended filters
Lautier, Delphine
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Université Paris-Dauphine (Paris IX)
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2002
A Kalman filter can be used for the estimation of a model’s parameters, when the model relies on
non
observable
data
…
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010708783
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