Recursive estimation in autoregressive models with additive outliers
Tomáš Cipra, Asunción Rubio, José Luis Canal (1993)
Kybernetika
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Displaying similar documents to “Robust Kalman filter and its application in time series analysis”
Recursive estimation in autoregressive models with additive outliers
Study on Kalman filter in time series analysis
Tomáš Cipra, I. Motyková (1987)
Commentationes Mathematicae Universitatis Carolinae
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On improving sensitivity of the Kalman filter
Petr Franěk (2002)
Kybernetika
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The impact of additive outliers on a performance of the Kalman filter is discussed and less outlier-sensitive modification of the Kalman filter is proposed. The improved filter is then used to obtain an improved smoothing algorithm and an improved state-space model parameters estimation.
Robust recursive estimation of GARCH models
Tomáš Cipra, Radek Hendrych (2018)
Kybernetika
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The robust recursive algorithm for the parameter estimation and the volatility prediction in GARCH models is suggested. It seems to be useful for various financial time series, in particular for (high-frequency) log returns contaminated by additive outliers. The proposed procedure can be effective in the risk control and regulation when the prediction of volatility is the main concern since it is capable to distinguish and correct outlaid bursts of volatility. This conclusion is demonstrated...