Abstract
In this paper, we derive the finite-dimensional recursive filters for a jump diffusion model with a drift parameter that follows hidden Markov chains. These finite-dimensional filters can be used with the expectation maximization (EM) algorithm to yield maximum likelihood estimates of the parameters of the model and the jump intensity rate.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
