A self-tuning model for inflation rate dynamics

DOI10.1016/J.CNSNS.2009.09.018zbMath1222.91040OpenAlexW2076544035MaRDI QIDQ720159

Rogemar S. Mamon, Zheng Duan

Publication date: 13 October 2011

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2009.09.018

zbMATH Keywords

EM algorithminflationMarkov-switching modelconsumer price index

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Macroeconomic theory (monetary models, models of taxation) (91B64) Dynamical systems in optimization and economics (37N40) Economic dynamics (91B55)

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Cites Work

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• On the convergence properties of the EM algorithm
• Parameter Estimation for Scientists and Engineers
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• The Pricing of Credit Default Swaps under a Markov-Modulated Merton’s Structural Model
• Pricing inflation-indexed derivatives

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