Statistical Validation of Multi-Agent Financial Models Using the H-Infinity Kalman Filter
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DOI: 10.1007/s10614-020-10048-8
Abstract: The article develops a method that is based on the H-infinity Kalman Filter for statistical validation of models of multi-agent financial systems in the form of an oligopoly. The real outputs of the oligopoly are… read more here.
Keywords: infinity kalman; agent financial; kalman filter; multi agent ... See more keywords