An efficient sequential learning algorithm in regime-switching environments
Jaeho Kim, Sunhyung Lee
| Year of publication: |
2019
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|---|---|
| Authors: | Kim, Jaeho ; Lee, Sunhyung |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 23.2019, 3, p. 1-14
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| Subject: | parameter learning | particle filters | regime switching models | sequential Monte Carlo estimation | volatility models | Monte-Carlo-Simulation | Monte Carlo simulation | Markov-Kette | Markov chain | Volatilität | Volatility | Lernprozess | Learning process | Algorithmus | Algorithm | Schätzung | Estimation | Schätztheorie | Estimation theory | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2018-0016 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012054894