Style Analysis Based on a General State Space Model and Monte Carlo Filter
This 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.
|Date of creation:||Apr 2005|
|Date of revision:|
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