Ivan Gorynin, Stéphane Derrode, Emmanuel Monfrini, Wojciech Pieczynski. Exact fast smoothing in switching models with application to stochastic volatility. In 23rd European Signal Processing Conference, EUSIPCO 2015, Nice, France, August 31 - September 4, 2015. pages 924-928, IEEE, 2015. [doi]
Abstract is missing.