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Browsing by Subject "Kalman filtering"

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Dynamics of equity market integration in Europe : impact of political-economy events

Aggarwal, Raj ; Lucey, Brian M. ; Muckley, Cal (University College Dublin. School of Business. Centre for Financial Markets, 2006-06)

Unlike most prior literature in finance and economics, this paper focuses on events in the political economy and examines the integration of European equity markets over the 1988 through 2002 period using three innovative ...
Parameter uncertainty in Kalman filter estimation of the CIR term structure model

O'Sullivan, Conall (University College Dublin. School of Business. Centre for Financial Markets, 2007)

The Cox, Ingersoll and Ross (1985) term structure model describes the stochastic evolution of government bond yield curves over time using a square root Orstein-Uhlenbeck diffusion process, whilst imposing cross-sectional ...
Reducing errors of wind speed forecasts by an optimal combination of post-processing methods

Sweeney, Conor ; Lynch, Peter ; Nolan, Paul (Wiley-Blackwell, 2011-09-13)

Seven adaptive approaches to post-processing wind speed forecasts are discussed and compared. 48-hour forecasts are run at horizontal resolutions of 7 km and 3 km for a domain centred over Ireland. Forecast wind speeds ...
Two Stage Kalman Filtering for Position Estimation Using Dual Inertial Measurement Units

Yadav, Nagesh ; Bleakley, Chris (IEEE, 2011-10-28)

Herein a two stage Kalman filter based algorithm is proposed for processing of Inertial Measurement Unit (IMU) data to obtain accurate position estimation over a short period of time. The proposed algorithm uses a novel ...