Improved nonlinear multivariate financial time series prediction with mixed-state latent factor models (Q2431710)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Improved nonlinear multivariate financial time series prediction with mixed-state latent factor models |
scientific article |
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Improved nonlinear multivariate financial time series prediction with mixed-state latent factor models (English)
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18 April 2011
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latent factor models
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EM algorithm
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conditional heteroskedasticity
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HMM
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time series
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segmentation
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forecasting
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