Parameter learning and change detection using a particle filter with accelerated adaptation
Year of publication: |
2021
|
---|---|
Authors: | Gellert, Karol ; Schlögl, Erik |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 9.2021, 12, Art.-No. 228, p. 1-18
|
Subject: | particle filter | model estimation | stochastic volatility | regime switching | genetic algorithm | parameter estimation | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Zustandsraummodell | State space model |
Type of publication: | Article |
---|---|
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks9120228 [DOI] hdl:10419/258310 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Trojan, Sebastian, (2013)
-
Trojan, Sebastian, (2014)
-
Estimating the price impact of trades in a high-frequency microstructure model with jumps
Jondeau, Eric, (2015)
- More ...
-
Parameter learning and change detection using a particle filter with accelerated adaptation
Gellert, Karol, (2021)
-
Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation
Gellert, Karol, (2018)
-
Parameter learning and change detection using a particle filter with accelerated adaptation
Gellert, Karol, (2018)
- More ...