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Type: Journal article
Title: Hidden Markov filter estimation of the occurrence time of an event in a financial market
Author: Elliott, R.
Tsoi, A.
Citation: Stochastic Analysis and Applications, 2005; 23(6):1165-1177
Publisher: Marcel Dekker Inc
Issue Date: 2005
ISSN: 0736-2994
Statement of
Robert J. Elliott & Allanus H. Tsoi
Abstract: In this paper, we use filtering techniques to estimate the occurrence time of an event in a financial market. The occurrence time is being viewed as a Markov stopping time with respect to the σ-field generated by a hidden Markov process. We also generalize our result to the N th occurrence time of that event.
Keywords: Hidden Markov filter
Stopping time.
Rights: Copyright © Taylor & Francis, Inc.
DOI: 10.1080/07362990500269765
Appears in Collections:Applied Mathematics publications
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