Optimal prediction with conditionally heteroskedastic factor analysed hidden Markov models (Q1037440)
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scientific article; zbMATH DE number 5633368
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal prediction with conditionally heteroskedastic factor analysed hidden Markov models |
scientific article; zbMATH DE number 5633368 |
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Optimal prediction with conditionally heteroskedastic factor analysed hidden Markov models (English)
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16 November 2009
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latent factor models
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EM algorithm
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conditional heteroskedasticity
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HMM
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time series segmentation
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forecasting
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