Parameter estimates of Heston stochastic volatility model with MLE and consistent EKF algorithm.
Ximei WangXingkang HeYing BaoYanlong ZhaoPublished in: Sci. China Inf. Sci. (2018)
Keyphrases
- parameter estimates
- parameter estimation
- probabilistic model
- objective function
- maximum likelihood
- em algorithm
- computational complexity
- prior information
- kalman filter
- parametric models
- extended kalman filter
- k means
- expectation maximization
- closed form
- model selection
- bayesian framework
- experimental data
- range images
- higher order
- least squares
- optimal solution