Parameter Estimation for Stock Models with Non-Constant Volatility Using Markov Chain Monte Carlo Methods.
Markus HahnWolfgang PutschöglJörn SassPublished in: OR (2006)
Keyphrases
- parameter estimation
- statistical models
- posterior distribution
- random fields
- model selection
- maximum likelihood
- markov chain monte carlo methods
- least squares
- em algorithm
- markov random field
- model fitting
- approximate inference
- stock market
- parameter estimation algorithm
- parameter values
- parameter estimates
- estimation problems
- expectation maximization
- stock price
- computer vision
- higher order
- markov chain monte carlo
- markov fields