Filtering on two-factor stochastic volatility model synthetic (test)
0.6117RMSEAFSF
Evaluation Results
| Method | Links | |||
|---|---|---|---|---|
| AFSFDistribution=p_theta1,psi(uk | sk)2026.04 | 0.6117 | 0.1571 | 0.3435 | |
| Flow-based particle filteringDistribution=p_particle_theta3,theta4(uk | y1:k)2026.04 | 0.6163 | 0.1591 | 0.3462 | |
| FBFDistribution=pFBF(uk | y1:k)2026.04 | 0.7481 | 0.2163 | 0.4188 |