Style Analysis Based on a General State Space Model and Monte Carlo Filter

Takao Kobayashi (), Seisho Sato and Akihiko Takahashi
Additional contact information
Seisho Sato: Department of Prediction and Control, Institute of Statistical Mathematics
Akihiko Takahashi: Faculty of Economics, University of Tokyo

No CIRJE-F-337, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: This paper proposes a new approach to style analysis by utilizing a general state space model and Monte Carlo filter. In particular,We regard coefficients of style indices as state variables in the state space model and apply Monte Carlo filter as estimation method. Moreover, an empirical analysis using actual funds' data confirms the validity of our approach.

Pages: 25 pages
Date: 2005-04
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:tky:fseres:2005cf337

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