Particle-based Parameter Inference in Stochastic Volatility Models: Batch vs. Online
This thesis focuses on comparing an online parameter estimator to an offline estimator, both based on the PaRIS-algorithm, when estimating parameter values for a stochastic volatility model. By modeling the stochastic volatility model as a hidden Markov model, estimators based on particle filters ca...
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| Format: | Others |
| Language: | English |
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KTH, Matematisk statistik
2019
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-252313 |