{"id":"https://openalex.org/W2891324953","doi":"https://doi.org/10.1007/978-3-030-00350-0_4","title":"Robust Kalman Filter for High-Frequency Financial Data","display_name":"Robust Kalman Filter for High-Frequency Financial Data","publication_year":2018,"publication_date":"2018-01-01","ids":{"openalex":"https://openalex.org/W2891324953","doi":"https://doi.org/10.1007/978-3-030-00350-0_4","mag":"2891324953"},"language":"en","primary_location":{"id":"doi:10.1007/978-3-030-00350-0_4","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-030-00350-0_4","pdf_url":null,"source":{"id":"https://openalex.org/S2764900261","display_name":"Communications in computer and information science","issn_l":"1865-0929","issn":["1865-0929","1865-0937"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"book series"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Communications in Computer and Information Science","raw_type":"book-chapter"},"type":"conference-paper","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5050204393","display_name":"Tom\u00e1\u0161 Cipra","orcid":"https://orcid.org/0000-0003-0604-324X"},"institutions":[{"id":"https://openalex.org/I21250087","display_name":"Charles University","ror":"https://ror.org/024d6js02","country_code":"CZ","type":"education","lineage":["https://openalex.org/I21250087"]}],"countries":["CZ"],"is_corresponding":true,"raw_author_name":"Tom\u00e1\u0161 Cipra","raw_affiliation_strings":["Department of Probability and Mathematical Statistics, Faculty of Mathematics and Physics, Charles University, Sokolovsk \u00e1 83, 186 75, Prague 8, Czech Republic"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Probability and Mathematical Statistics, Faculty of Mathematics and Physics, Charles University, Sokolovsk \u00e1 83, 186 75, Prague 8, Czech Republic","institution_ids":["https://openalex.org/I21250087"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5026642606","display_name":"Radek Hendrych","orcid":"https://orcid.org/0000-0003-3222-3148"},"institutions":[{"id":"https://openalex.org/I21250087","display_name":"Charles University","ror":"https://ror.org/024d6js02","country_code":"CZ","type":"education","lineage":["https://openalex.org/I21250087"]}],"countries":["CZ"],"is_corresponding":false,"raw_author_name":"Radek Hendrych","raw_affiliation_strings":["Department of Probability and Mathematical Statistics, Faculty of Mathematics and Physics, Charles University, Sokolovsk \u00e1 83, 186 75, Prague 8, Czech Republic"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Probability and Mathematical Statistics, Faculty of Mathematics and Physics, Charles University, Sokolovsk \u00e1 83, 186 75, Prague 8, Czech Republic","institution_ids":["https://openalex.org/I21250087"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5059938221","display_name":"Michal \u010cern\u00fd","orcid":"https://orcid.org/0000-0002-3261-9524"},"institutions":[{"id":"https://openalex.org/I35913352","display_name":"Prague University of Economics and Business","ror":"https://ror.org/029ecwj92","country_code":"CZ","type":"education","lineage":["https://openalex.org/I35913352"]}],"countries":["CZ"],"is_corresponding":false,"raw_author_name":"Michal \u010cern\u00fd","raw_affiliation_strings":["Department of Econometrics, Faculty of Informatics and Statistics, University of Economics in Prague, W. Churchill Sq. 4, 130 67, Prague 3, Czech Republic"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Econometrics, Faculty of Informatics and Statistics, University of Economics in Prague, W. Churchill Sq. 4, 130 67, Prague 3, Czech Republic","institution_ids":["https://openalex.org/I35913352"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5050204393"],"corresponding_institution_ids":["https://openalex.org/I21250087"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.10009279,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":"42","last_page":"54"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10320","display_name":"Neural Networks and Applications","score":0.9909999966621399,"subfield":{"id":"https://openalex.org/subfields/1702","display_name":"Artificial Intelligence"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},"topics":[{"id":"https://openalex.org/T10320","display_name":"Neural Networks and Applications","score":0.9909999966621399,"subfield":{"id":"https://openalex.org/subfields/1702","display_name":"Artificial Intelligence"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T11236","display_name":"Control Systems and Identification","score":0.9907000064849854,"subfield":{"id":"https://openalex.org/subfields/2207","display_name":"Control and Systems Engineering"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10876","display_name":"Fault Detection and Control Systems","score":0.9793000221252441,"subfield":{"id":"https://openalex.org/subfields/2207","display_name":"Control and Systems Engineering"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/kalman-filter","display_name":"Kalman filter","score":0.8240807056427002},{"id":"https://openalex.org/keywords/outlier","display_name":"Outlier","score":0.7844278812408447},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.7739733457565308},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5705918669700623},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5027120113372803},{"id":"https://openalex.org/keywords/autoregressive-conditional-heteroskedasticity","display_name":"Autoregressive conditional heteroskedasticity","score":0.4928288757801056},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.45319071412086487},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.358171284198761},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.29698628187179565},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.2646605968475342}],"concepts":[{"id":"https://openalex.org/C157286648","wikidata":"https://www.wikidata.org/wiki/Q846780","display_name":"Kalman filter","level":2,"score":0.8240807056427002},{"id":"https://openalex.org/C79337645","wikidata":"https://www.wikidata.org/wiki/Q779824","display_name":"Outlier","level":2,"score":0.7844278812408447},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.7739733457565308},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5705918669700623},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5027120113372803},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.4928288757801056},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.45319071412086487},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.358171284198761},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.29698628187179565},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.2646605968475342}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1007/978-3-030-00350-0_4","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-030-00350-0_4","pdf_url":null,"source":{"id":"https://openalex.org/S2764900261","display_name":"Communications in computer and information science","issn_l":"1865-0929","issn":["1865-0929","1865-0937"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"book series"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Communications in Computer and Information Science","raw_type":"book-chapter"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":31,"referenced_works":["https://openalex.org/W169415374","https://openalex.org/W1540723801","https://openalex.org/W1846829173","https://openalex.org/W1965324089","https://openalex.org/W2002466177","https://openalex.org/W2025172643","https://openalex.org/W2032758125","https://openalex.org/W2034060029","https://openalex.org/W2034824933","https://openalex.org/W2035370104","https://openalex.org/W2051275020","https://openalex.org/W2076711696","https://openalex.org/W2090560380","https://openalex.org/W2097941183","https://openalex.org/W2121135122","https://openalex.org/W2123684617","https://openalex.org/W2132050943","https://openalex.org/W2142967252","https://openalex.org/W2151975799","https://openalex.org/W2168158211","https://openalex.org/W2170817049","https://openalex.org/W2336026766","https://openalex.org/W2396261851","https://openalex.org/W2566645609","https://openalex.org/W2762952103","https://openalex.org/W3100582116","https://openalex.org/W3104355006","https://openalex.org/W4230240572","https://openalex.org/W4232239282","https://openalex.org/W4240691156","https://openalex.org/W4241887328"],"related_works":["https://openalex.org/W3006513224","https://openalex.org/W2046456988","https://openalex.org/W2357409937","https://openalex.org/W2978674666","https://openalex.org/W2385286892","https://openalex.org/W2350927655","https://openalex.org/W4386802740","https://openalex.org/W1986811129","https://openalex.org/W2286180210","https://openalex.org/W1877031344"],"abstract_inverted_index":null,"counts_by_year":[],"updated_date":"2026-08-04T08:18:43.703281","created_date":"2025-10-10T00:00:00"}