Maximum likelihood estimation of latent Markov models using closed-form approximations

Maximum Likelihood from Incomplete Data Via the <i>EM</i> Algorithm

A. P. Dempster, N. M. Laird, Donald B. Rubin · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 1977 · 49.7K citations

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A New Approach to Linear Filtering and Prediction Problems

R. E. Kalman · Journal of Basic Engineering · 1960 · 31K citations

Natural Sciences, Mathematics, Dynamical Systems +16

Statistical Analysis With Missing Data

Maureen Lahiff, Roderick J. A. Little, Donald B. Rubin · Journal of the American Statistical Association · 1989 · 17.5K citations

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

Steven L. Heston · Review of Financial Studies · 1993 · 9.1K citations

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Unscented Filtering and Nonlinear Estimation

Simon Julier, Jeffrey Uhlmann · Proceedings of the IEEE · 2004 · 6.5K citations

Computing, Data Science, Forecasting +14