Style Analysis Based on a General State Space Model and Monte Carlo Filter
AbstractThis paper proposes a new approach to style analysis by utilizing a general state space model and Monte Carlo filter. In particular,We regard coefficients of style indices as state variables in the state space model and apply Monte Carlo filter as estimation method. Moreover, an empirical analysis using actual funds' data confirms the validity of our approach.
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Bibliographic InfoPaper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE F-Series with number CIRJE-F-337.
Length: 25 pages
Date of creation: Apr 2005
Date of revision:
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-04-30 (All new papers)
- NEP-ECM-2005-04-30 (Econometrics)
- NEP-ETS-2005-04-30 (Econometric Time Series)
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