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This paper presents the construction of a particle filter, which incorporates elements inspired by genetic algorithms, in order to achieve accelerated adaptation of the estimated posterior distribution to changes in model parameters. Specifically, the filter is designed for the situation where...
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particle swarm optimization, genetic algorithm, and gradient descent-and find the performance of the proposed algorithm …
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. Regression modelling has been used within this study as a methodology to identify the goodness-of-fit between the original and … regression and copula modelling, apart from the usual forecasting. Determining the distribution and stylized facts also allows … of regression modelling. …
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regression modelling for which we also consider interaction effects: While, according to our modelling results, the price … markets. -- index options ; quotation data ; price change process ; poisson regression ; latent process ; autocorrelation …
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