Adelaide Research & Scholarship
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https://hdl.handle.net/2440/17859
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| Type: | Journal article |
| Title: | Hidden Markov filter estimation of the occurrence time of an event in a financial market |
| Author: | Elliott, R. Tsoi, A. |
| Citation: | Stochastic Analysis and Applications, 2005; 23(6):1165-1177 |
| Publisher: | Marcel Dekker Inc |
| Issue Date: | 2005 |
| ISSN: | 0736-2994 1532-9356 |
| Statement of Responsibility: | Robert J. Elliott & Allanus H. Tsoi |
| Abstract: | In this paper, we use filtering techniques to estimate the occurrence time of an event in a financial market. The occurrence time is being viewed as a Markov stopping time with respect to the σ-field generated by a hidden Markov process. We also generalize our result to the N th occurrence time of that event. |
| Keywords: | Hidden Markov filter Stopping time. |
| Rights: | Copyright © Taylor & Francis, Inc. |
| DOI: | 10.1080/07362990500269765 |
| Published version: | http://dx.doi.org/10.1080/07362990500269765 |
| Appears in Collections: | Applied Mathematics publications Aurora harvest 6 |
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