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A Regularized Kalman Filter (rgKF) for Spiky Data

hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorDarolles, Serge*
hal.structure.identifier
dc.contributor.authorDuvaut, Patrick*
hal.structure.identifier
dc.contributor.authorJay, Emmanuelle*
dc.date.accessioned2014-06-17T13:53:24Z
dc.date.available2014-06-17T13:53:24Z
dc.date.issued2013
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/13496
dc.language.isoenen
dc.subjectregularized Kalman filter (rgKF)en
dc.subjectrobust Kalman filter (RKF)en
dc.subjectspiky dataen
dc.subject.ddc332en
dc.subject.classificationjelC.C3.C30en
dc.subject.classificationjelG.G1.G12en
dc.titleA Regularized Kalman Filter (rgKF) for Spiky Dataen
dc.typeChapitre d'ouvrage
dc.description.abstractenThis chapter presents a new family of algorithms named regularized Kalman Filters (rgKFs) that have been derived to detect and estimate exogenous outliers that might occur in the observation equation of a standard Kalman filter (KF). Inspired from the robust Kalman filter (RKF) of Mattingley and Boyd, which makes use of a l1-regularization step, the authors introduce a simple but efficient detection step in the recursive equations of the RKF. This solution is one means by which to solve the problem of adapting the value of the l1-regularization parameter: when an outlier is detected in the innovation term of the KF, the value of the regularization parameter is set to a value that will let the l1-based optimization problem estimate the amplitude of the spike. The chapter deals with the application of algorithm to detect irregularities in hedge fund returns.en
dc.identifier.citationpages117-132en
dc.relation.ispartoftitleMulti-factor models and signal processing techniques: application to quantitative financeen
dc.relation.ispartofeditorDarolles, Serge
dc.relation.ispartofeditorDuvaut, Patrick
dc.relation.ispartofeditorJay, Emmanuelle
dc.relation.ispartofpublnameISTE ; J. Wileyen
dc.relation.ispartofpublcityLondon ; Hoboken, NJen
dc.relation.ispartofdate2013
dc.relation.ispartofpages184en
dc.relation.ispartofurlhttp://dx.doi.org/10.1002/9781118577387en
dc.subject.ddclabelEconomie financièreen
dc.relation.ispartofisbn978-1-84821-419-4en
dc.relation.forthcomingnonen
dc.identifier.doi10.1002/9781118577387.ch4en
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
hal.identifierhal-01632887*
hal.version1*
hal.update.actionupdateMetadata*
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