How do invariant transformations affect the calibration and optimization of the Kalman filtering algorithm used in the estimation of continuous-time affine term structure models? - researchr publication

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Januj Amar Juneja. How do invariant transformations affect the calibration and optimization of the Kalman filtering algorithm used in the estimation of continuous-time affine term structure models?. Comput. Manag. Science, 18(1):73-97, 2021. [doi]

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