Filtering and M-ary Detection of Markov Modulated Mean Reverting Model
In an earlier paper we developed a stochastic model incorporating a double-Markov modulated mean-reversion model. The model is based on an explicit discretisation of the corresponding continuous time dynamics. Here we discuss parameter estimation via the technique of M-ary detection.
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Sultan Qaboos University
2010-12-01
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| Series: | Sultan Qaboos University Journal for Science |
| Subjects: | |
| Online Access: | https://journals.squ.edu.om/index.php/squjs/article/view/372 |