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"Filtering of a Discrete-Time HMM-Driven Multivariate Ornstein-Uhlenbeck ..."
Anton Tenyakov, Rogemar S. Mamon, Matt Davison (2016)
- Anton Tenyakov, Rogemar S. Mamon
, Matt Davison
:
Filtering of a Discrete-Time HMM-Driven Multivariate Ornstein-Uhlenbeck Model With Application to Forecasting Market Liquidity Regimes. IEEE J. Sel. Top. Signal Process. 10(6): 994-1005 (2016)
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