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Results 1-10 of 12 (Search time: 0.002 seconds).
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PreviewIssue DateTitleAuthor(s)
2003On the numerical stability of time-discretised state estimation via Clark transformationsMalcolm, W.; Elliott, R.; Van Der Hoek, J.; IEEE Conference on Decision and Control (42nd : 2003 : Maui, Hawaii)
2001Robust M-ary detection filters for continuous-time jump Markov systemsElliott, R.; Malcolm, W.; Djaferis, T.; IEEE Conference on Decision and Control (40th : 2001 : Orlando, Florida)
2001Robust smoother dynamics for Poisson processes driven by an Ito^diffusionElliott, R.; Malcolm, W.; Djaferis, T.; IEEE Conference on Decision and Control (40th : 2001 : Orlando, Florida)
2004A deterministic discretisation-step upper bound for state estimation via Clark transformationsMalcolm, W.; Elliott, R.; Van Der Hoek, J.
2001Improved smoother dynamics for discrete time HMM parameter estimationElliott, R.; Malcolm, W.; Theodore Djaferis; IEEE Conference on Decision and Control (40th : 2001 : Orlando, Florida)
2005General smoothing formulas for Markov-modulated Poisson observationsElliott, R.; Malcolm, W.
2002HMM volatility estimationElliott, R.; Malcolm, W.; Tsoi, A.; Hitay Ozbay; IEEE Conference on Decision and Control (41st : 2002 : Las Vegas, Nevada)
2005Pairs tradingElliott, R.; Van Der Hoek, J.; Malcolm, W.
2005Risk-sensitive filtering and smoothing for continuous-time Markov processesMalcolm, W.; Elliott, R.; James, M.
2003Robust parameter estimation for asset price models with Markov modulated volatilitiesElliott, R.; Malcolm, W.; Tsoi, A.

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