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Hidden Markov filtering for a mean reverting interest rate model

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3 Author(s)
Elliot, R. ; Dept. of Appl. Math., Adelaide Univ., SA, Australia ; Fischer, P. ; Platen, E.

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