فیلتر کالمن درجه دوم
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|53081||2015||14 صفحه PDF||سفارش دهید||محاسبه نشده|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Journal of Econometrics, Volume 187, Issue 1, July 2015, Pages 43–56
We propose a new filtering and smoothing technique for non-linear state-space models. Observed variables are quadratic functions of latent factors following a Gaussian VAR. Stacking the vector of factors with its vectorized outer-product, we form an augmented state vector whose first two conditional moments are known in closed-form. We also provide analytical formulae for the unconditional moments of this augmented vector. Our new Quadratic Kalman Filter (Qkf) exploits these properties to formulate fast and simple filtering and smoothing algorithms. A simulation study first emphasizes that the Qkf outperforms the extended and unscented approaches in the filtering exercise showing up to 70% RMSEs improvement of filtered values. Second, it provides evidence that Qkf-based maximum-likelihood estimates of model parameters always possess lower bias or lower RMSEs than the alternative estimators.