Open AccessPerformance evaluation of modified adaptive Kalman filters, least means square and recursive least square methods for market risk beta and VaR estimation
Author(s) -
Atanu Das
Publication year - 2019
Publication title -
quantitative finance and economics
Language(s) - English
Resource type - Journals
ISSN - 2573-0134
DOI - 10.3934/qfe.2019.1.124
Subject(s) - kalman filter , covariance matrix , covariance , noise (video) , computer science , mean squared error , adaptive filter , square (algebra) , econometrics , statistics , mathematics , mathematical optimization , algorithm , artificial intelligence , geometry , image (mathematics)