A Quadratic Kalman Filter

By Renne Jean-Paul, Monfort Alain, and Roussellet Guillaume
Working Paper (2013)

  • Jean-Paul Renne

    Banque de France

    France

  • Guillaume Roussellet

    Banque de France - CREST

    France

  • Alain Monfort

    CREST

    France

Created

December 17, 2013

Last update

June 20, 2016

Software

R

Ranking

25

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3384

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327

Description

Don't hesitate to report any bug and to submit any improvement.

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