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Filtering of a Discrete-Time HMM-Driven Multivariate Ornstein-Uhlenbeck Model With Application to Forecasting Market Liquidity Regimes.

Anton TenyakovRogemar S. MamonMatt Davison
Published in: IEEE J. Sel. Top. Signal Process. (2016)
Keyphrases
  • probabilistic model
  • markov chain
  • stochastic model
  • multiscale
  • objective function
  • maximum likelihood
  • em algorithm