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

DOI10.1007/978-1-4899-7442-6_1zbMath1407.62423OpenAlexW2261675883MaRDI QIDQ4562474

Peter Ruckdeschel, Christina Erlwein-Sayer

Publication date: 21 December 2018

Published in: International Series in Operations Research & Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4899-7442-6_1

zbMATH Keywords

robustificationasset priceshidden Markov model (HMM)asset returnsElliott's on-line EM algorithm

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Robustness and adaptive procedures (parametric inference) (62F35) Markov processes: estimation; hidden Markov models (62M05)

Related Items

Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation

Uses Software

• mclust
• ROptEst
• RobLox
• robustbase

Cites Work

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