Filtering a double threshold model with regime-switching

Robert J. Elliott; Tak Kuen Siu; John W. Lau

doi:10.1109/TAC.2013.2261186

Filtering a double threshold model with regime-switching

Robert J. Elliott, Tak Kuen Siu, John W. Lau

Department of Applied Finance

Research output: Contribution to journal › Article › peer-review

2 Citations (Scopus)

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.

Original language	English
Article number	6512015
Pages (from-to)	3185-3190
Number of pages	6
Journal	IEEE Transactions on Automatic Control
Volume	58
Issue number	12
DOIs	https://doi.org/10.1109/TAC.2013.2261186
Publication status	Published - Dec 2013

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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.",

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Filtering a double threshold model with regime-switching

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