Maximum likelihood estimation of hidden Markov processes

Annals of Applied Probability

Volumn 13, Issue 4, 2003, Pages 1296-1312

  Frydman, Halina ^a   Lakner, Peter ^a  

^a NEW YORK UNIVERSITY   (United States)

Author keywords

E M algorithm; Filtered integral; Hidden diffusion financial models; Likelihood ratio; Maximum likelihood estimation

Indexed keywords

EID: 0346283167     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/aoap/1069786500     Document Type: Article

References (15)

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