Optimal filtering equations in state space model of the two factors mean reverting Ornstein-Uhlenbech process (Q6096211)
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scientific article; zbMATH DE number 7736156
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal filtering equations in state space model of the two factors mean reverting Ornstein-Uhlenbech process |
scientific article; zbMATH DE number 7736156 |
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Optimal filtering equations in state space model of the two factors mean reverting Ornstein-Uhlenbech process (English)
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11 September 2023
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Ornstein Uhlenbeck process
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state space model
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estimation of the hidden mean reverting factor
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optimal filtering equations
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0.88191426
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0.87212133
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0.8533465
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0.8530623
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0.85278654
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0.84918416
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