An efficient sequential learning algorithm in regime-switching environments

DOI10.1515/snde-2018-0016OpenAlexW2901979800MaRDI QIDQ2697041

Sunhyung Lee, Jae-ho Kim

Publication date: 17 April 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2018-0016

zbMATH Keywords

particle filtersparameter learningvolatility modelsregime switching modelssequential Monte Carlo estimation

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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