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]
@article{Juneja21,
title = {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?},
author = {Januj Amar Juneja},
year = {2021},
doi = {10.1007/s10287-020-00380-7},
url = {https://doi.org/10.1007/s10287-020-00380-7},
researchr = {https://researchr.org/publication/Juneja21},
cites = {0},
citedby = {0},
journal = {Comput. Manag. Science},
volume = {18},
number = {1},
pages = {73-97},
}