Online estimation for a predictive analytics platform with a financial-stability-analysis application
DOI10.1016/j.ejcon.2020.05.008zbMath1455.91247OpenAlexW3035368334MaRDI QIDQ2220080
Xing Gu, Heng Xiong, Thibaut Duprey, Rogemar S. Mamon
Publication date: 21 January 2021
Published in: European Journal of Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejcon.2020.05.008
hidden Markov modelregime-switching modeloptimal parameter estimationfinancial stress indexindustrial production index
Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10) Financial networks (including contagion, systemic risk, regulation) (91G45) Financial markets (91G15)
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White
- Real-time pricing for LQG power networks with independent types: a dynamic mechanism design approach
- On the convergence properties of the EM algorithm
- Putting a price tag on temperature
- Adaptive signal processing of asset price dynamics with predictability analysis
- An examination of HMM-based investment strategies for asset allocation
- FINANCIAL SIGNAL PROCESSING: A SELF CALIBRATING MODEL
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Automatic Block-Length Selection for the Dependent Bootstrap
- New finite-dimensional filters for parameter estimation of discrete-time linear Gaussian models
- An interest rate model with a Markovian mean reverting level
- Computable Error Bounds of Laplace Inversion for Pricing Asian Options
- Kurtosis as Peakedness, 1905–2014.R.I.P.
This page was built for publication: Online estimation for a predictive analytics platform with a financial-stability-analysis application
