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• #### Sigma Point Filters For Dynamic Nonlinear Regime Switching Models ﻿

(CAMP Working Papers Series;4/2015, Working paper, 2015)
In this paper we take three well known Sigma Point Filters, namely the Unscented Kalman Filter, the Divided Difference Filter, and the Cubature Kalman Filter, and extend them to allow for a very general class of dynamic ...