Robust Kalman filter and its application in time series analysis
Tomáš Cipra, Ma.Rosario Romera Ayllón (1991)
Kybernetika
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Tomáš Cipra, Ma.Rosario Romera Ayllón (1991)
Kybernetika
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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...
Tomáš Cipra (1994)
Applications of Mathematics
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The problem of asymmetry appears in various aspects of time series modelling. Typical examples are asymmetric time series, asymmetric error distributions and asymmetric loss functions in estimating and predicting. The paper deals with asymmetric modifications of some recursive time series methods including Kalman filtering, exponential smoothing and recursive treatment of Box-Jenkins models.
Tomáš Cipra, I. Motyková (1987)
Commentationes Mathematicae Universitatis Carolinae
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