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Please use this identifier to cite or link to this item: https://hdl.handle.net/2440/17859
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dc.contributor.authorElliott, R.-
dc.contributor.authorTsoi, A.-
dc.date.issued2005-
dc.identifier.citationStochastic Analysis and Applications, 2005; 23(6):1165-1177-
dc.identifier.issn0736-2994-
dc.identifier.issn1532-9356-
dc.identifier.urihttp://hdl.handle.net/2440/17859-
dc.description.abstractIn 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.-
dc.description.statementofresponsibilityRobert J. Elliott & Allanus H. Tsoi-
dc.language.isoen-
dc.publisherMarcel Dekker Inc-
dc.rightsCopyright © Taylor & Francis, Inc.-
dc.source.urihttp://dx.doi.org/10.1080/07362990500269765-
dc.subjectHidden Markov filter-
dc.subjectStopping time.-
dc.titleHidden Markov filter estimation of the occurrence time of an event in a financial market-
dc.typeJournal article-
dc.identifier.doi10.1080/07362990500269765-
pubs.publication-statusPublished-
Appears in Collections:Applied Mathematics publications
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