Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation (Q2304045)
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scientific article; zbMATH DE number 7177639
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| English | Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation |
scientific article; zbMATH DE number 7177639 |
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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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0.9004551
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0.8805756
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0.8759932
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0.87560487
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0.8676467
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0.86761945
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