Some contributions to filtering theory with applications in financial modelling
Two main groups of filtering algorithms are characterised and developed. Their applicability is demonstrated using actuarial and financial time series data. The first group of algorithms involved hidden Markov models (HMM), where the parameters of an asset price model switch between regimes in accor...
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Brunel University
2009
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.557708 |