• DocumentCode
    43490
  • Title

    Filtering a Double Threshold Model With Regime Switching

  • Author

    Elliott, Robert J. ; Tak Kuen Siu ; Lau, John W.

  • Author_Institution
    Sch. of Math. Sci., Univ. of Adelaide, Adelaide, SA, Australia
  • Volume
    58
  • Issue
    12
  • fYear
    2013
  • fDate
    Dec. 2013
  • Firstpage
    3185
  • Lastpage
    3190
  • Abstract
    We introduce a new double threshold model with regime switches. New filtering equations are derived based on a reference probability approach. We also propose a new and practically useful method for implementing the filtering equations.
  • Keywords
    filtering theory; probability; double threshold model; filtering equations; reference probability approach; regime switches; Equations; Hidden Markov models; Load modeling; Mathematical model; Standards; Switches; Time series analysis; Expectation Maximization (EM), algorithm; financial data; hidden Markov chain; recursive filters; reference probability; threshold models;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/TAC.2013.2261186
  • Filename
    6512015
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=43490