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Quantitative Finance · Glosario

¿Qué es Prediction-error decomposition?

Definition 19.6 Quantitative Methods · Capítulo 19 — State-Space Models and the Kalman Filter

The prediction-error decomposition writes the likelihood of the observations as the product of the one-step predictive densities, ln⁡L=−12∑t(ln⁡(2πFt)+vt2/Ft)\ln L = -\frac12\sum_t\bigl(\ln(2\pi F_t) + v_t^2/F_t\bigr), with the innovations and their variances from the filter.

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