Online Estimation of Time-Varying Volatility Using a Continuous-Discrete LMS Algorithm.
Elisabeth LahalleHana BailiJacques OksmanPublished in: EURASIP J. Adv. Signal Process. (2008)
Keyphrases
- estimation algorithm
- significant improvement
- computational cost
- learning algorithm
- np hard
- optimization algorithm
- optimal solution
- detection algorithm
- search space
- k means
- dynamic programming
- worst case
- probabilistic model
- passive aggressive
- least mean square
- matching algorithm
- computational complexity
- objective function
- parameter estimation
- segmentation algorithm
- cost function
- evolutionary algorithm
- convergence rate
- recognition algorithm
- preprocessing
- piecewise linear
- online algorithms