In this paper, we address the risk-sensitive filtering problem which is minimizing the expectation of the exponential of the squared estimation error multiplied by a risk-sensitive parameter. Such filtering can be more robust to plant and noise uncertainty than minimum error variance filtering. Although optimizing a differently formulated performance index to that of the so-called H1 filtering,...

using the quarterly data of 1990:1 to 2008:1 and in a general equilibrium approach, we investigate the long run equilibrium path of the equilibrium interest rate as well as the potential output. we implement a structural reduced form of a general equilibrium model consistent with iran’s economy and estimate the unobservable variables by employing the kalman filtering technique. a exponential ut...

markowitz, in his portfolio selection theory, stated that investors select their portfolios according to two criteria of risk and return. accordingly, he presented his mathematical model. one of the criticisms of this model is that while investors, practically, consider different criteria in forming their portfolios, it only considers the return mean and return standard deviation. liquidity is ...

In this paper, we address the problem of risk-sensitive tiitering and smoothing for discrete-time Hidden Markov Models (HMM ) with finite-discrete states. The objective of risk-sensitive tiltering is to minimise the expectation of the exponential of the squared estimation error weighted by a risk-sensitive parameter. Wc use the so-called Reference Probability Method in solving this problem. We ...

cancer, with a high rate of mortalities worldwide, pose a major threat to human health. although family history accounts for at least 5-10% of all cancers, it is conferred to be as a significant risk of developing cancer. recently, application of high speed and low cost high-throughput nucleotide sequencing technologies has provided an opportunity to assess cancer risk in at risk healthy indivi...

Computer and information networks are a prime example of an environment where negative externalities abound, particularly when it comes to implementing security defenses. A typical example is that of denial-of-service prevention: ingress filtering, where attack traffic gets discarded by routers close to the perpetrators, is in principle an excellent remedy, as it prevents harmful traffic not on...