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

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

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DOI: 10.1109/JSTSP.2016.2549499

access: closed

type: Journal Article

metadata version: 2023-06-26

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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)

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