lq-regularization of the Kalman filter for exogenous outlier removal: application to hedge funds analysis
Jay, Emmanuelle; Duvaut, Patrick; Darolles, Serge; Gouriéroux, Christian (2011), lq-regularization of the Kalman filter for exogenous outlier removal: application to hedge funds analysis, Fourth International Workshop on Computational Advances in Multi-Sensor Adaptive Processing (CAMSAP), 2011-12, San Juan, Porto Rico
TypeCommunication / Conférence
Conference titleFourth International Workshop on Computational Advances in Multi-Sensor Adaptive Processing (CAMSAP)
Conference citySan Juan
Conference countryPorto Rico
MetadataShow full item record
Abstract (EN)This paper presents a simple and efficient exogenous outlier detection & estimation algorithm introduced in a regularized version of the Kalman Filter (KF). Exogenous outliers that may occur in the observations are considered as an additional stochastic impulse process in the KF observation equation that requires a regularization of the innovation in the KF recursive equations. Regularizing with a l1- or l2-norm needs to determine the value of the regularization parameter. Since the KF innovation error is assumed to be Gaussian we propose to first detect the possible occurrence of an exogenous impulsive spike and then to estimate its amplitude using an adapted value of the regularization parameter. The algorithm is first validated on synthetic data and then applied to a concrete financial case that deals with the analysis of hedge fund returns. The proposed algorithm can detect anomalies frequently observed in hedge returns such as illiquidity issues.
Subjects / KeywordsKalman filter; Hedge funds
Showing items related by title and author.
lq-regularization of the Kalman ﬁlter for exogenous outlier removal: application to hedge funds analysis Gouriéroux, Christian; Darolles, Serge; Jay, Emmanuelle; Duvaut, Patrick (2011) Communication / Conférence