Title :
Filtering a Double Threshold Model With Regime Switching
Author :
Elliott, Robert J. ; Tak Kuen Siu ; Lau, John W.
Author_Institution :
Sch. of Math. Sci., Univ. of Adelaide, Adelaide, SA, Australia
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.
Keywords :
filtering theory; probability; double threshold model; filtering equations; reference probability approach; regime switches; Equations; Hidden Markov models; Load modeling; Mathematical model; Standards; Switches; Time series analysis; Expectation Maximization (EM), algorithm; financial data; hidden Markov chain; recursive filters; reference probability; threshold models;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.2013.2261186
