Similar Search Results

The Jacobian of the exponential function

Magnus, Jan R.; Pijls, Henk G. J.; Sentana, Enrique - In: Journal of economic dynamics & control 127 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10012668907

Using a mean changing stochastic processes exit-entry model for stock market longshort prediction

Lleo, Sébastien; Zhitlukhin, M. V.; Ziemba, William T. - 2021

Persistent link: https://www.econbiz.de/10012534838

Option pricing model biases : Bayesian and Markov Chain Monte Carlo regression analysis

Mozumder, Sharif; Choudhry, Taufiq; Dempsey, Michael - In: Computational economics 57 (2021) 4, pp. 1287-1305

Persistent link: https://www.econbiz.de/10012543312

Mortality forecasting using a Lexis-based state-space model

Andersson, Patrik; Lindholm, Mathias - In: Annals of actuarial science : publ. by the Institute of … 15 (2021) 3, pp. 519-548

Persistent link: https://www.econbiz.de/10012656701

Parameter learning and change detection using a particle filter with accelerated adaptation

Gellert, Karol; Schlögl, Erik - In: Risks : open access journal 9 (2021) 12, pp. 1-18

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...

Persistent link: https://www.econbiz.de/10012794245