| Ekonomická a finančná matematika http://www.iam.fmph.uniba.sk/studium/efm/forum/ |
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| Dnesna prednaska prof. DeJonga http://www.iam.fmph.uniba.sk/studium/efm/forum/viewtopic.php?f=8&t=128 |
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| Autor: | sevcovic [ Štv Máj 29, 2008 10:16 am ] |
| Predmet príspevku: | Dnesna prednaska prof. DeJonga |
Vazeni kolegovia, davam vam do pozornosti dnesnu prednsku prof. DeJonga z Univerzity v Pittsburghu. Vsimnite si, ze prednaska sa bude konat v miestnosti M213 na duhom poschodi matematickeho pavilonu (informatika). Pozdravuje vas vsetkych, Daniel Sevcovic *čas:* 29.5.2008 (štvrtok) o 15.00 hod. *miestnosť: *M 213, FMFI UK David DeJong (University of Pittsburgh, USA) An Efficient Approach to Analyzing State-Space Representations <http://www.defm.fmph.uniba.sk/cef/abstract/dejong.html> Abstrakt We develop a numerical procedure that facilitates efficient likelihood evaluation and filtering in applications involving non-linear and non-Gaussian state-space models. The procedure approximates necessary integrals using continuous approximations of target densities. Construction is achieved via efficient importance sampling, and approximating densities are adapted to fully incorporate current information. http://www.pitt.edu/~dejong/eisparticle ... 0Final.pdf <http://www.pitt.edu/%7Edejong/eisparticle/EIS%20Filter%20Final.pdf> |
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