Filters and smoothers for self-exciting Markov modulated counting processes
From MaRDI portal
Publication:6246735
arXiv1311.6257MaRDI QIDQ6246735FDOQ6246735
Robert J. Elliott, Samuel N. Cohen
Publication date: 25 November 2013
Abstract: We consider a self-exciting counting process, the parameters of which depend on a hidden finite-state Markov chain. We derive the optimal filter and smoother for the hidden chain based on observation of the jump process. This filter is in closed form and is finite dimensional. We demonstrate the performance of this filter both with simulated data, and by analysing the `flash crash' of 6th May 2010 in this framework.
Applications of continuous-time Markov processes on discrete state spaces (60J28) Markov processes: estimation; hidden Markov models (62M05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Statistical methods; risk measures (91G70)
This page was built for publication: Filters and smoothers for self-exciting Markov modulated counting processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6246735)
