Author Publications

2013

Saha, S. and Mandal, P.K. and Bagchi, A. and Boers, Y. and Driessen, J.N. (2013) Particle based smoothed marginal MAP estimation for general state space models. IEEE Transactions on Signal Processing, 61 (2). pp. 264-273. ISSN 1053-587X

2012

Aihara, ShinIchi and Bagchi, Arunabha and Saha, Saikat (2012) Identification of Bates stochastic volatility model by using non-central chi-square random generation method. In: IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2012, March 25-30, 2012, Kyoto, Japan.

2009

Aihara, ShinIchi and Bagchi, Arunabha and Saha, Saikat (2009) On parameter estimation of stochastic volatility models from stock data using particle filter - Application to AEX index -. International journal of innovative computing, information and control, 5 (1). pp. 17-27. ISSN 1349-4198

Saha, S. and Boers, Y. and Driessen, J.N. and Mandal, P.K. and Bagchi, A. (2009) Particle filter based MAP state estimation: a comparison. In: 12th International Conference on Information Fusion 2009, 6-9 July, 2009, Seattle, USA.

Saha, S. and Mandal, P.K. and Bagchi, A. and Boers, Y. and Driessen, H. (2009) Parameter estimation in a general state space model from short observation data: A SMC based approach. In: 2009 IEEE/SP 15th Workshop on Statistical Signal Processing, 31 Aug - 03 Sep 2009, Cardiff, UK.

Saha, Saikat (2009) Topics in particle filtering and smoothing. thesis.

2008

Aihara, Shin Ichi and Bagchi, Arunabha and Saha, Saikat (2008) Estimating volatility and model parameters of stochastic volatility models with jumps using particle filter. In: 17th IFAC World Congress, 06-11 July 2008, Seoul.

Saha, S. and Mandal, P.K. and Bagchi, A. (2008) A new approach to particle based smoothed marginal MAP. In: 16th European Signal Processing Conference, EUSIPCO, 25-29 August 2008, Lausanne, Switzerland.

Saha, S. and Mandal, P.K. and Bagchi, A. and Boers, Y. and Driessen, H. (2008) On the Monte Carlo marginal MAP estimator for general state space models. [Report]

Saha, S. and Mandal, P.K. and Boers, Y. and Driessen, H. and Bagchi, A. (2008) Gaussian proposal density using moment matching in SMC methods. Statistics and Computing, 19 (2). pp. 203-208. ISSN 0960-3174

2007

Saha, S. and Mandal, P.K. and Boers, Y. and Driessen, H. and Bagchi, A. (2007) Gaussian proposal density using moment matching in SMC methods. [Report]

2006

Saha, S. and Mandal, P.K. and Boers, Y. and Driessen, H. (2006) Exact moment matching for efficient importance functions in SMC methods. In: Nonlinear Statistical Signal Processing Workshop (NSSPW): Classical, Unscented and Particle Filtering Methods, 13-15 Sept 2006, Cambridge, UK.