Robustification of an On-line EM Algorithm for Modelling Asset Prices Within an HMM (Q4562474)
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scientific article; zbMATH DE number 6996401
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robustification of an On-line EM Algorithm for Modelling Asset Prices Within an HMM |
scientific article; zbMATH DE number 6996401 |
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Robustification of an On-line EM Algorithm for Modelling Asset Prices Within an HMM (English)
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21 December 2018
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robustification
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Elliott's on-line EM algorithm
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asset prices
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hidden Markov model (HMM)
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asset returns
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