Hidden Markov models for scenario generation
DOI10.1093/IMAMAN/DPM026zbMATH Open1147.62075OpenAlexW2013165854MaRDI QIDQ3534992FDOQ3534992
Authors: Enza Messina, Daniele Toscani
Publication date: 10 November 2008
Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/imaman/dpm026
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes (60J99)
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