Sequential parameter and state learning in continuous time stochastic volatility models using the SMC² algorithm
In this Master’s thesis, joint sequential inference of both parameters and states of stochastic volatility models is carried out using the SMC2 algorithm found in SMC2: an efficient algorithm for sequential analysis of state-space models, Nicolas Chopin, Pierre E. Jacob, Omiros Papaspiliopoulos. The...
Main Author: | |
---|---|
Format: | Others |
Language: | English |
Published: |
KTH, Matematisk statistik
2015
|
Subjects: | |
Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-177104 |