How can Kalman filtering be used for inference in state-space models?

an information process with stochastic volatility. JEL classification: G12 ... Informational Con0 tent of Implied Volatility, Review of Financial ... Sep 4, 2024 ... For definiteness, we consider a game where N players bet on the binary outcome of a stochastic process and share the entry fees pot if ... Mar 15, 2023 ... Abstract. Some mathematical models of informational signals and methods of the diagnostic system construction is considered. Different type of ... Dec 19, 2024 ... Although Thermodynamics, Information Theory, Brownian motion and Stochastic Physical Process share commonalities in handling energy, information ... This paper deals with the problem of establishing conditions under which, in the independent Gaussian case, a stochastic process can be considered to be ... stochastic process. Mutual information based distance measure can thus be used to compare texts written by different authors or to build phylogenies of ... While classical state-space reconstruction won't work on stochastic processes, such processes do have state-space representations [11], and, in the special ... ufacturing systems, information economics, stochastic processes and performance model- ing for capacity planning and pricing. Seidmann has consulted with ... Apr 15, 2025 ... ... stochastic process. We introduce an informational taxonomy to profile these correlations via a suite of multivariate information measures. ... stochastic process, whether the original process is Markovian or not. ... information sharing called "informational coherence". Informational coherence, in ...