Modelling the US dollar index using continuous hidden Markov

DOI10.22342/JIMS.V32I3.1986MaRDI QIDQ7364909zbMATH OpenFDO

Authors David Vijanarco Martal, Berlian Setiawaty, Retno Budiarti

Publication date 2 October 2026

Published in Journal of the Indonesian Mathematical Society (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.22342/JIMS.V32I3.1986

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

Cites work

• A Bayesian Approach to Multistate Hidden Markov Models: Application to Dementia Progression
• Semi-supervised adapted HMMs for P2P credit scoring systems with reject inference
• The Akaike information criterion: background, derivation, properties, application, interpretation, and refinements

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