EXACT FAST SMOOTHING IN SWITCHING MODELS WITH APPLICATION TO STOCHASTIC VOLATILITY

Abstract : We consider the problem of statistical smoothing in nonlin-ear non-Gaussian systems. Our novel method relies on a Markov-switching model to operate recursively on series of noisy input data to produce an estimate of the underlying system state. We show through a set of experiments that our technique is efficient within the framework of the stochastic volatility model.
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https://hal.archives-ouvertes.fr/hal-01165338
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Submitted on : Friday, June 19, 2015 - 7:23:06 AM
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Ivan Gorynin, Stéphane Derrode, Emmanuel Monfrini, Wojciech Pieczynski. EXACT FAST SMOOTHING IN SWITCHING MODELS WITH APPLICATION TO STOCHASTIC VOLATILITY. EUSIPCO, Aug 2015, Nice, France. ⟨hal-01165338⟩

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