How do invariant transformations affect the calibration and optimization of the Kalman filtering algorithm used in the estimation of continuous-time affine term structure models?
Author:
Funder
national science foundation
Publisher
Springer Science and Business Media LLC
Subject
Information Systems,Management Information Systems
Link
http://link.springer.com/content/pdf/10.1007/s10287-020-00380-7.pdf
Reference34 articles.
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3. Boulder D (2001) Affine term structure models: theory and implementation Bank of Canada Working Paper
4. Cattivelli FS, Sayed AH (2010) Diffusion strategies for distributed Kalman filtering and smoothing. IEEE Trans Autom Control 55:2069–2084
5. Cheridito P, Filipovic D, Kimmel RL (2010) A note on the Dai–Singleton canonical representations of affine term structure models. Math Finance 20:509–519
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