IEEE Transactions on Automatic Control, Vol.58, No.12, 3185-3190, 2013
Filtering a Double Threshold Model With Regime Switching
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:Expectation Maximization (EM);algorithm;financial data;hidden Markov chain;recursive filters;reference probability;threshold models