About: Robustification of Elliott's on-line EM algorithm for HMMs

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An Entity of Type : schema:ScholarlyArticle, within Data Space : covidontheweb.inria.fr associated with source document(s)

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type	Academic Article research paper schema:ScholarlyArticle
isDefinedBy	Covid-on-the-Web dataset
title	Robustification of Elliott's on-line EM algorithm for HMMs
Creator	Ruckdeschel, Peter Erlwein, Christina
source	ArXiv
abstract	In this paper, we establish a robustification of an on-line algorithm for modelling asset prices within a hidden Markov model (HMM). In this HMM framework, parameters of the model are guided by a Markov chain in discrete time, parameters of the asset returns are therefore able to switch between different regimes. The parameters are estimated through an on-line algorithm, which utilizes incoming information from the market and leads to adaptive optimal estimates. We robustify this algorithm step by step against additive outliers appearing in the observed asset prices with the rationale to better handle possible peaks or missings in asset returns.
has issue date	2013-04-07(xsd:dateTime)
has license	arxiv
sha1sum (hex)	4df659e1fcde506750dae8b335a33759f00093df
resource representing a document's title	Robustification of Elliott's on-line EM algorithm for HMMs
resource representing a document's body	covid:4df659e1fcde506750dae8b335a33759f00093df#body_text
is schema:about of	named entity 'observed' named entity 'estimates' named entity 'EM algorithm' named entity 'SWITCH' named entity 'ESTABLISH' »more»

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