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Estimation of fixed effects panel regression models with separable and nonseparable space-time filters
Panel data Spatial cointegration Explosive roots Fixed e¤ects
2016/1/25
This paper considers a quasi-maximum likelihood estimation for a linear panel data model with time and individual …xed e¤ects, where the disturbances have dynamic and spatial correlations which might ...
Estimation of fixed effects panel regression models with separable and nonseparable space-time filters
Spatial autoregression Panel data Spatial cointegration Explosive roots Fixed e¤ects
2016/1/20
This paper considers a quasi-maximum likelihood estimation for a linear panel data model with time and individual …xed e¤ects, where the disturbances have dynamic and spatial correlations which might ...
Optimization-Based Design and Implementation of Multi-Dimensional Zero-Phase IIR Filters
Optimization-Based Design Multi-Dimensional Zero-Phase IIR Filters
2015/7/10
This paper considers multi-dimensional infinite impulse response (IIR) filters that are iteratively implemented. The focus is on zero-phase filters with symmetric polynomials in the numerator and deno...
Online data processing: Comparison of Bayesian regularized particle filters
Online data processing Bayesian estimation regularized particle filters Stochastic Volatility models
2009/9/16
The aim of this paper is to compare three regularized particle filters in an online data processing context. We carry out the comparison in terms of hidden states filtering and parameter estimation, c...
Discrete time nonlinear filters with informative observations are stable
Discrete time nonlinear filters informative observation
2009/3/23
The nonlinear filter associated with the discrete time signal-observation model $(X_k,Y_k)$ is known to forget its initial condition as $ktoinfty$ regardless of the observation structure when the sign...
Variance reduction for particle filters of systems with time-scale separation
particle filter multiscale dimensional reduction variance reduction Rao-Blackwellization stochastic differential equations jump Markov processes
2010/4/29
We present a particle filter construction for a system
that exhibits time scale separation. The separation of time
scales allows two simplifications that we exploit: i) the use
of the averaging pri...
Morphing Ensemble Kalman Filters
Ensemble Kalman Filters image processing registration mapping
2010/4/29
A new type of ensemble filter is proposed, which combines an ensemble Kalman filter (EnKF)
with the ideas of morphing and registration from image processing. This results in filters
suitable for non...