• DocumentCode
    1814576
  • Title

    Hidden Markov filtering for a mean reverting interest rate model

  • Author

    Elliot, R. ; Fischer, P. ; Platen, E.

  • Author_Institution
    Dept. of Appl. Math., Adelaide Univ., SA, Australia
  • Volume
    3
  • fYear
    1999
  • fDate
    1999
  • Firstpage
    2782
  • Abstract
    A hidden Markov model with mean reverting characteristics is considered as a model for financial time series, particularly interest rates. The optimal filter for the state of the hidden Markov chain is obtained. A number of auxiliary filters are obtained that enable the parameters of the model to be estimated using the EM algorithm. A simulation study demonstrates the feasibility of this approach
  • Keywords
    economic cybernetics; finance; hidden Markov models; parameter estimation; time series; financial time series; hidden Markov filtering; hidden Markov model; mean reverting interest rate model; optimal filter; parameter estimation; simulation; Diffusion processes; Economic indicators; Equations; Filtering; Filters; Hidden Markov models; Mathematical model; Mathematics; Space technology; State-space methods;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Decision and Control, 1999. Proceedings of the 38th IEEE Conference on
  • Conference_Location
    Phoenix, AZ
  • ISSN
    0191-2216
  • Print_ISBN
    0-7803-5250-5
  • Type

    conf

  • DOI
    10.1109/CDC.1999.831354
  • Filename
    831354
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=1814576