Adelaide Research & Scholarship
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https://hdl.handle.net/2440/17857
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| Type: | Journal article |
| Title: | Hidden Markov chain filtering for a jump diffusion model |
| Author: | Wu, P. Elliott, R. |
| Citation: | Stochastic Analysis and Applications, 2005; 23(1):153-163 |
| Publisher: | Marcel Dekker Inc |
| Issue Date: | 2005 |
| ISSN: | 0736-2994 1532-9356 |
| Statement of Responsibility: | Wu, P. ; Elliott, R. J. |
| Abstract: | In this paper, we derive the finite-dimensional recursive filters for a jump diffusion model with a drift parameter that follows hidden Markov chains. These finite-dimensional filters can be used with the expectation maximization (EM) algorithm to yield maximum likelihood estimates of the parameters of the model and the jump intensity rate. |
| Keywords: | Filtering equations Martingale Reference probability. |
| Description: | Copyright © Taylor & Francis, Inc. |
| DOI: | 10.1081/SAP-200044465 |
| Published version: | http://dx.doi.org/10.1081/sap-200044465 |
| Appears in Collections: | Applied Mathematics publications Aurora harvest 2 |
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