Conditionally heteroscedastic factorial HMMs for time series in finance (Q3607871)
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scientific article; zbMATH DE number 5520397
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| English | Conditionally heteroscedastic factorial HMMs for time series in finance |
scientific article; zbMATH DE number 5520397 |
Statements
Conditionally heteroscedastic factorial HMMs for time series in finance (English)
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28 February 2009
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dynamic factor analysis
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GQARCH processes
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EM algorithm
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switching Kalman filter
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GPB approximation
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finance
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0.8720722
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0.87040126
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0.8678797
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0.8652068
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0.8616744
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0.86092424
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0.8593567
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