Referenced Items are not available for this document.
A hidden Markov model with mean reverting characteristics is considered as a model for financial time series, particularly interest rates. The optimal filter for the state of the hidden Markov chain is obtained. A number of auxiliary filters are obtained that enable the parameters of the model to be estimated using the EM algorithm. A simulation study demonstrates the feasibility of this approach
Published in:
Decision and Control, 1999. Proceedings of the 38th IEEE Conference on
(Volume:3
)
Date of Conference: 1999
- Page(s):
- 2782 - 2787 vol.3
- Meeting Date :
- 07 Dec 1999-10 Dec 1999
- ISSN :
- 0191-2216
- Print ISBN:
- 0-7803-5250-5
- INSPEC Accession Number:
- 6552012
- Conference Location :
- Phoenix, AZ
- Digital Object Identifier :
- 10.1109/CDC.1999.831354
- Product Type:
- Conference Publications
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