Filtering and m-ary detection of markov modulated mean reverting model
Joint Authors
Aggoun, al-Akhdar
Malcolm, W. P.
al-Lawatii, Muhammad
Source
Sultan Qaboos University Journal for Science
Issue
Vol. 2010, Issue 15 (31 Dec. 2010), pp.87-100, 14 p.
Publisher
Sultan Qaboos University College of Science
Publication Date
2010-12-31
Country of Publication
Oman
No. of Pages
14
Main Subjects
Topics
Abstract AR
هذا البحث يطور نموذج يحتوي على سلسلتين من نوع مركوف تقوم بالتأثير على نموذج يقوم بدراسة حركة للفرق بين الأسعار في سوق المال.
السلسلتان من نوع مركوف تقوم بتوصيف أحداث غير معروفة لكن ذات تأثير على الأسعار في سوق المال.
و تستعمل في هذا البحث طرق تغيير القياس لتقدير التوزيع الشرطي المتكرر.
Abstract EN
In an earlier paper we developed a stochastic model incorporating a double-Markov modulated mean-reversion model.
The model is based on an explicit discretization of the corresponding continuous time dynamics.
Here we discuss parameter estimation via the technique of M-ary detection.
American Psychological Association (APA)
Aggoun, al-Akhdar& al-Lawatii, Muhammad& Malcolm, W. P.. 2010. Filtering and m-ary detection of markov modulated mean reverting model. Sultan Qaboos University Journal for Science،Vol. 2010, no. 15, pp.87-100.
https://search.emarefa.net/detail/BIM-211455
Modern Language Association (MLA)
Aggoun, al-Akhdar…[et al.]. Filtering and m-ary detection of markov modulated mean reverting model. Sultan Qaboos University Journal for Science No. 15 (2010), pp.87-100.
https://search.emarefa.net/detail/BIM-211455
American Medical Association (AMA)
Aggoun, al-Akhdar& al-Lawatii, Muhammad& Malcolm, W. P.. Filtering and m-ary detection of markov modulated mean reverting model. Sultan Qaboos University Journal for Science. 2010. Vol. 2010, no. 15, pp.87-100.
https://search.emarefa.net/detail/BIM-211455
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references : p. 100
Record ID
BIM-211455
