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Robustification of an On-line EM Algorithm for Modelling Asset Prices Within an HMM - MaRDI portal

Robustification of an On-line EM Algorithm for Modelling Asset Prices Within an HMM (Q4562474)

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scientific article; zbMATH DE number 6996401
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English
Robustification of an On-line EM Algorithm for Modelling Asset Prices Within an HMM
scientific article; zbMATH DE number 6996401

    Statements

    title
    Robustification of an On-line EM Algorithm for Modelling Asset Prices Within an HMM (English)
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    publication date
    21 December 2018
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    zbMATH Keywords
    robustification
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    Elliott's on-line EM algorithm
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    asset prices
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    hidden Markov model (HMM)
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    asset returns
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    describes a project that uses
    mclust
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    ROptEst
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    robustbase
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    RobLox
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    Identifiers

    Mathematics Subject Classification ID
    62P20
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    62F35
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    62M05
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    91B25
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    zbMATH DE Number
    6996401
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    OpenAlex ID
    W2261675883
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