Hidden Markov chain filtering for a jump diffusion model
Date
2005
Authors
Wu, P.
Elliott, R.
Editors
Advisors
Journal Title
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Type:
Journal article
Citation
Stochastic Analysis and Applications, 2005; 23(1):153-163
Statement of Responsibility
Wu, P. ; Elliott, R. J.
Conference Name
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.
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Dissertation Note
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Copyright © Taylor & Francis, Inc.