Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation (Q2304045): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation |
scientific article |
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Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation (English)
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6 March 2020
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regime-switching model
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yield rate
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change of probability measure
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parameter estimation
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filtering
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