Hidden Markov Chain Filtering for Generalised Bessel Processes
AbstractFinite-dimensional recursive filters are obtained for generalised Bessel processes with a drift parameter that follows a hidden Markov chain. In particular, filters are constructed for the states, the jumps and the occupation times of the states of the Markov chain. These lead to estimators for the transition rates and the levels of the hidden states of the chain. Finally a minimum variance filter is described that minimises fluctuations of the filters.
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Bibliographic InfoPaper provided by Quantitative Finance Research Centre, University of Technology, Sydney in its series Research Paper Series with number 23.
Date of creation: 01 Dec 1999
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- Eckhard Platen & Wolfgang Runggaldier, 2002.
"A Benchmark Approach to Filtering in Finance,"
Research Paper Series
77, Quantitative Finance Research Centre, University of Technology, Sydney.
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