STOCHASTIC FILTERING WITH APPN...

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Focusing on stochastic filtering as a modeling tool, this book aims to enhance its popularity in finance and economics. It simplifies complex algorithms and illustrates their applications using real historical data, addressing common problems in these fields. While no prior expertise is needed, familiarity with probability theory is expected. The text serves as a valuable reference for graduate students and researchers, providing insights into model estimation results and comparing them with contemporary studies, making it suitable for graduate-level courses on stochastic modeling.