Optimal filtering equations in state space model of the two factors mean reverting Ornstein-Uhlenbech process (Q6096211): Difference between revisions
From MaRDI portal
Latest revision as of 20:58, 2 August 2024
scientific article; zbMATH DE number 7736156
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal filtering equations in state space model of the two factors mean reverting Ornstein-Uhlenbech process |
scientific article; zbMATH DE number 7736156 |
Statements
Optimal filtering equations in state space model of the two factors mean reverting Ornstein-Uhlenbech process (English)
0 references
11 September 2023
0 references
Ornstein Uhlenbeck process
0 references
state space model
0 references
estimation of the hidden mean reverting factor
0 references
optimal filtering equations
0 references
