Volatility estimation of hidden Markov processes and adaptive filtration-Reference-Cited by-同舟云学术

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Volatility estimation of hidden Markov processes and adaptive filtration

Published:2024-07 Issue: Volume:173 Page:104381
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Kutoyants Yury A.^ORCID

Funder

Russian Science Foundation

Publisher

Elsevier BV

Reference28 articles.

1. Integral inequalities for convex functions of operators on martingales;Burkholder,1972

2. Inference in Hidden Markov Models;Cappé,2005

3. Approximation of BSDE with hidden forward equation and unknown volatility;Chernoyarov;Econ. Stat.,2023

4. Maximum likelihood estimation for hidden Markov models in continuous time;Chigansky;Statist. Inference Stoch. Processes,2009

5. Hidden Markov Models;Elliott,1995

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Hidden AR process and adaptive Kalman filter;Annals of the Institute of Statistical Mathematics;2024-07-25

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