Computational aspects of continuous–discrete extended Kalman-filtering
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- Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
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KeywordsExtended Kalman-filter; Taylor–Heun-integration; Modified Gauss–Legendre-formula;
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