Fitting Stochastic Volatility Models in the Presence of Irregular Sampling via Particle Methods and the EM Algorithm (Q3552853)
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scientific article; zbMATH DE number 5697511
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| English | Fitting Stochastic Volatility Models in the Presence of Irregular Sampling via Particle Methods and the EM Algorithm |
scientific article; zbMATH DE number 5697511 |
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Fitting Stochastic Volatility Models in the Presence of Irregular Sampling via Particle Methods and the EM Algorithm (English)
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22 April 2010
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financial time series
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missing data
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mixtures of normals
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particle filtering
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particle smoothing
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state-space model
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0.88928276
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0.88478404
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0.88101876
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0.8780318
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0.87528497
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0.87440777
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