Name
Abstract | ||
|---|---|---|
We introduce a new double threshold model with regime switches. New filtering equations are derived based on a reference probability approach. We also propose a new and practically useful method for implementing the filtering equations. |
Year | DOI | Venue |
|---|---|---|
2013 | 10.1109/TAC.2013.2261186 | Automatic Control, IEEE Transactions |
Keywords | Field | DocType |
filtering theory,probability,double threshold model,filtering equations,reference probability approach,regime switches,Expectation Maximization (EM), algorithm,financial data,hidden Markov chain,recursive filters,reference probability,threshold models | Regime switching,Control theory,Computer science,Algorithm,Filter (signal processing),Artificial intelligence,Double threshold,Hidden Markov model,Machine learning,Hidden semi-Markov model | Journal |
Volume | Issue | ISSN |
58 | 12 | 0018-9286 |
Citations | PageRank | References |
0 | 0.34 | 2 |
Authors | ||
3 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Robert J. Elliott | 1 | 333 | 50.13 |
| Tak Kuen Siu | 2 | 114 | 20.25 |
| Lau, J.W. | 3 | 0 | 0.34 |