Title of article
Filtering and M-ary Detection of Markov Modulated Mean Reverting Model
Author/Authors
Aggoun, Lakhdar Sultan Qaboos University - College of Science - Department of Mathematics and Statistics, Oman , Al-Lawati, Mohamed Sultan Qaboos University - College of Science - Department of Mathematics and Statistics, Oman , Malcolm, W.P. Australian National University, Australia
From page
87
To page
100
Abstract
ABSTRACT: 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.
Keywords
Double , Markov modulated mean , reversion model , Filtering , M , Ary detection , Continuous , Time Dynamics.
Journal title
Sultan Qaboos University Journal for Science
Journal title
Sultan Qaboos University Journal for Science
Record number
2549953
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