An online estimation scheme for a Hull-White model with HMM-driven parameters.
Christina ErlweinRogemar S. MamonPublished in: Stat. Methods Appl. (2009)
Keyphrases
- parameter values
- high level
- objective function
- experimental data
- parameter estimation
- hidden markov models
- probabilistic model
- mathematical model
- computational model
- online learning
- parameter space
- conceptual model
- linear model
- maximum likelihood
- maximum likelihood estimation
- management system
- probability distribution
- neural network
- parametric models
- analytical model
- data sets
- sensitivity analysis
- statistical model
- model selection
- em algorithm
- graphical models
- prior knowledge