Author of the publication

lq-regularization of the Kalman Filter for exogenous outlier removal: Application to hedge funds analysis.

, , , and . CAMSAP, page 29-32. IEEE, (2011)

Please choose a person to relate this publication to

To differ between persons with the same name, the academic degree and the title of an important publication will be displayed. You can also use the button next to the name to display some publications already assigned to the person.

 

Other publications of authors with the same name

Kernel autocorrelogram for time-deformed processes, , and . Journal of Statistical Planning and Inference, 68 (1): 167--191 (May 1, 1998)Two-stage generalized moment method with applications to regressions with heteroscedasticity of unknown form, , and . Journal of Statistical Planning and Inference, 50 (1): 37--63 (Feb 15, 1996)lq-regularization of the Kalman Filter for exogenous outlier removal: Application to hedge funds analysis., , , and . CAMSAP, page 29-32. IEEE, (2011)Simulation-based econometric methods, and . CORE lectures Oxford Univ. Press, Oxford, (1996)The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I: The HighWater Mark Scheme., and . TES, volume 251 of Advances in Intelligent Systems and Computing, page 23-45. Springer, (2014)The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II: The Loss Carry Forward Scheme., and . TES, volume 251 of Advances in Intelligent Systems and Computing, page 47-62. Springer, (2014)Nonparametric estimation of a scalar diffusion model from discrete time data: a survey., , and . Ann. Oper. Res., 256 (2): 203-219 (2017)Simulated residuals, , , and . Journal of Econometrics, 34 (1-2): 201--252 (00 1987)Testing nested or non-nested hypotheses, , and . Journal of Econometrics, 21 (1): 83--115 (January 1983)Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters, , and . Journal of Econometrics, 16 (1): 166--161 (May 1981)