It appears that no particular approximate [nonlinear] filter is consistently better than any other, though . . . any nonlinear filter is better than a strictly linear one. 1 The Kalman filter is a ...

An important problem in multivariate statistics is the estimation of covariance matrices. We consider a class of nonparametric covariance models in which the entries in the covariance matrix depend on ...

The aim of this paper is: (i) to find the best linear estimates of the means and standard deviations of the rectangular, triangular, exponential and double exponential populations; (ii) to compare the ...

Adam Hayes, Ph.D., CFA, is a financial writer with 15+ years Wall Street experience as a derivatives trader. Besides his extensive derivative trading expertise, Adam is an expert in economics and ...