Journal of applied mathematics & informatics

The Korean Society for Computational and Applied Mathematics (한국전산응용수학회)
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A FILTERING FOR DISCRETE MARKET SYSTEM WITH UNKNOWN PARAMETERS

  • Choi, Won (Department of Mathematics, University of Incheon)
  • Published : 2008.01.30
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Abstract

The problem of recursive filtering for discrete market model with unknown parameters is considered. In this paper, we develop an effective filtering algorithm for discrete market systems with unknown parameters and the error covariance equation determining the accuracy of the proposed algorithm is derived.

Keywords