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Communication Dans Un Congrès Année : 2015

EXACT FAST SMOOTHING IN SWITCHING MODELS WITH APPLICATION TO STOCHASTIC VOLATILITY

Résumé

We consider the problem of statistical smoothing in nonlin-ear non-Gaussian systems. Our novel method relies on a Markov-switching model to operate recursively on series of noisy input data to produce an estimate of the underlying system state. We show through a set of experiments that our technique is efficient within the framework of the stochastic volatility model.
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Dates et versions

hal-01165338 , version 1 (19-06-2015)

Identifiants

  • HAL Id : hal-01165338 , version 1

Citer

Ivan Gorynin, Stéphane Derrode, Emmanuel Monfrini, Wojciech Pieczynski. EXACT FAST SMOOTHING IN SWITCHING MODELS WITH APPLICATION TO STOCHASTIC VOLATILITY. EUSIPCO, Aug 2015, Nice, France. ⟨hal-01165338⟩
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