Robust identification of highly persistent interest rate regimes

DOI10.1016/j.ijar.2017.01.004zbMath1411.62303OpenAlexW2573503483MaRDI QIDQ518607

Stefano Peluso, Pietro Muliere, Antonietta Mira

Publication date: 29 March 2017

Published in: International Journal of Approximate Reasoning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ijar.2017.01.004

zbMATH Keywords

robustregime shiftsinterest rateshidden Markov modelsstate space modelBayesian nonparametric statistics

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05)

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