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Hidden Markov Filter Estimation of the Occurrence Time of an Event in a Financial Market.
- Source :
-
Stochastic Analysis & Applications . Nov2005, Vol. 23 Issue 6, p1165-1177. 13p. - Publication Year :
- 2005
-
Abstract
- In this paper, we use filtering techniques to estimate the occurrence time of an event in a financial market. The occurrence time is being viewed as a Markov stopping time with respect to the σ-field generated by a hidden Markov process. We also generalize our result to the N th occurrence time of that event. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 07362994
- Volume :
- 23
- Issue :
- 6
- Database :
- Academic Search Index
- Journal :
- Stochastic Analysis & Applications
- Publication Type :
- Academic Journal
- Accession number :
- 18685949
- Full Text :
- https://doi.org/10.1080/07362990500269765