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Results 11-20 of 21 (Search time: 0.001 seconds).
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Issue Date
Title
Author(s)
2005
General smoothing formulas for Markov-modulated Poisson observations
Elliott, R.
;
Malcolm, W.
2003
Robust parameter estimation for asset price models with Markov modulated volatilities
Elliott, R.
;
Malcolm, W.
;
Tsoi, A.
2010
Some applications for M-ary detection in quantitative finance
Malcolm, W.
;
Elliott, R.
2005
Filtering, smoothing and M-ary detection with discrete time poisson observations
Elliott, R.
;
Malcolm, W.
;
Aggoun, L.
2006
Data-recursive smoother formulae for partially observed discrete-time Markov chains
Elliott, R.
;
Malcolm, W.
2005
Pairs trading
Elliott, R.
;
Van Der Hoek, J.
;
Malcolm, W.
2004
A deterministic discretisation-step upper bound for state estimation via Clark transformations
Malcolm, W.
;
Elliott, R.
;
Van Der Hoek, J.
2006
State and mode estimation for discrete-time jump Markov systems
Elliott, R.
;
Dufour, F.
;
Malcolm, W.
2001
Robust smoother dynamics for Poisson processes driven by an Ito^diffusion
Elliott, R.
;
Malcolm, W.
;
Djaferis, T.
;
IEEE Conference on Decision and Control (40th : 2001 : Orlando, Florida)
2001
Robust M-ary detection filters for continuous-time jump Markov systems
Elliott, R.
;
Malcolm, W.
;
Djaferis, T.
;
IEEE Conference on Decision and Control (40th : 2001 : Orlando, Florida)
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Author
5
Dufour, F.
3
IEEE Conference on Decision and C...
3
Van Der Hoek, J.
2
Camacho, E.
2
Djaferis, T.
2
IEEE Conference on Decision and C...
2
Tsoi, A.
1
Aggoun, L.
1
American Control Conference (2005...
1
Arulampalam, M.
.
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Subject
2
Martingales
1
Backwards dynamics
1
Change of measure
1
counting processes
1
Detection
1
Discrete parameter martingales
1
expectation maximization (EM) alg...
1
Expectation Maximization Algorithm
1
filtering
1
Forwards and backwards Duncan–Mor...
.
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