Hidden Markov Chain Filtering for Generalised Bessel Processes

Robert Elliott and Eckhard Platen ()
Additional contact information
Robert Elliott: University of Adelaide

No 23, Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney

Abstract: Finite-dimensional recursive filters are obtained for generalised Bessel processes with a drift parameter that follows a hidden Markov chain. In particular, filters are constructed for the states, the jumps and the occupation times of the states of the Markov chain. These lead to estimators for the transition rates and the levels of the hidden states of the chain. Finally a minimum variance filter is described that minimises fluctuations of the filters.

Date: 1999-12-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published as: Elliott, R. and Platen, E., 2001, "Hidden Markov Chain Filtering for Generalised Bessel Processes", Stochastics in Finite and Infinite Dimensions: Trends in Mathematics, 123-143.

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:uts:rpaper:23

Access Statistics for this paper

More papers in Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney PO Box 123, Broadway, NSW 2007, Australia. Contact information at EDIRC.
Bibliographic data for series maintained by Duncan Ford ().