Conditionally heteroscedastic factorial HMMs for time series in finance (Q3607871)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Conditionally heteroscedastic factorial HMMs for time series in finance |
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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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