Bayesian parameter estimation of Jump-Langevin systems for trend following in finance.
James K. MurphySimon J. GodsillPublished in: ICASSP (2015)
Keyphrases
- parameter estimation
- maximum likelihood
- posterior distribution
- model selection
- least squares
- em algorithm
- random fields
- parameter estimation algorithm
- statistical models
- markov random field
- bayesian model selection
- parameter estimates
- expectation maximization
- approximate inference
- maximum likelihood estimation
- model fitting
- markov chain
- position estimation
- color images
- video sequences