Hidden Markov Filter Estimation of the Occurrence Time of an Event in a Financial Market
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Publication:5707906
DOI10.1080/07362990500269765zbMath1101.62099MaRDI QIDQ5707906
Allanus H. Tsoi, Robert J. Elliott
Publication date: 25 November 2005
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362990500269765
62M20: Inference from stochastic processes and prediction
62P05: Applications of statistics to actuarial sciences and financial mathematics
60G40: Stopping times; optimal stopping problems; gambling theory
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