"Filtering of a Discrete-Time HMM-Driven Multivariate Ornstein-Uhlenbeck ..."

Anton Tenyakov, Rogemar S. Mamon, Matt Davison (2016)

> Home

Details and statistics

DOI: 10.1109/JSTSP.2016.2549499

access: closed

type: Journal Article

metadata version: 2023-06-26

- view
  - electronic edition via DOI
  - unpaywalled version
  authority control:
- export record
  dblp key:
  - journals/jstsp/TenyakovMD16
- ask others
- share record
  persistent URL:
  - https://dblp.org/rec/journals/jstsp/TenyakovMD16
Anton Tenyakov, Rogemar S. Mamon, Matt Davison:
Filtering of a Discrete-Time HMM-Driven Multivariate Ornstein-Uhlenbeck Model With Application to Forecasting Market Liquidity Regimes. IEEE J. Sel. Top. Signal Process. 10(6): 994-1005 (2016)

manage site settings

To protect your privacy, all features that rely on external API calls from your browser are turned off by default. You need to opt-in for them to become active. All settings here will be stored as cookies with your web browser. For more information see our F.A.Q.