Improved nonlinear multivariate financial time series prediction with mixed-state latent factor models (Q2431710)
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scientific article; zbMATH DE number 5879654
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| English | Improved nonlinear multivariate financial time series prediction with mixed-state latent factor models |
scientific article; zbMATH DE number 5879654 |
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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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0.8424624800682068
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0.7815356254577637
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0.7684229612350464
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0.7308168411254883
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