ABSTRACT FOR TALK BY R. J. Elliott, Feb 16, 1999, 3 p.m.,
EBU I, Rm 5101
"COMMODITY PRICING AND NEW FINITE DIMENSIONAL FILTERS"
In his 1997 address as President of the American Finance Assocation,
Eduardo Schwartz used the Kalman filter to estimate the evolution of certain
commodity prices. When applied in practice this model has required a re
calculation of parameters as each day's new prices are revealed.
Consequently this situation provides an ideal application for new
finite dimensional filters which estimate the parameters in the linear
Gaussian model. The filters are extensions of the Kalman filter and provide
recursive finite dimensional estimates for arbitrary sums and products of
the signal.