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Issue Date
Title
Author(s)
2013
A modified hidden Markov model
Van Der Hoek, J.
;
Elliott, R.
2011
On filtering and estimation of a threshold stochastic volatility model
Elliott, R.
;
Liew, C.
;
Siu, T.
2010
A filter for a state space model with fractional Gaussian noise
Elliott, R.
;
Deng, J.
2010
On mean-variance portfolio selection under a hidden Markovian regime-switching model
Elliott, R.
;
Siu, T.
;
Badescu, A.
2010
Nonlinear filter estimation of volatility
Elliott, R.
;
Van Der Hoek, J.
;
Valencia, J.
Discover
Author
5
Elliott, R.
2
Siu, T.
2
Van Der Hoek, J.
1
Badescu, A.
1
Deng, J.
1
Liew, C.
1
Valencia, J.
Subject
2
Reference probability
1
Change of measure
1
Change of measures
1
Filter
1
Filtering
1
Finite-dimensional filter.
1
Fractional Gaussian noise
1
Gauge transformation
1
Genome sequencing
1
Hidden Markov chain
.
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Date issued
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2013
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2011
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2010