Focal Interest
Focal Interest

Estimation theory

  1. Detailed deduction of the Tennessee-Eastman benchmark model
    Detailed mathematical reconstruction of the Tennessee-Eastman benchmark process model with previously unavailable parameters and explicit documentation of assumptions.
  2. Spline-based score-driven models allow flexible time-varying parameters
    Score-driven time-varying parameter model using spline-based densities without parametric assumptions, with applications to inflation and volatility filtering.