An efficient sequential learning algorithm in regime-switching environments
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Publication:2697041
DOI10.1515/snde-2018-0016OpenAlexW2901979800MaRDI QIDQ2697041
Publication date: 17 April 2023
Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/snde-2018-0016
particle filtersparameter learningvolatility modelsregime switching modelssequential Monte Carlo estimation
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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