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.

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Bibliographic Details
Published inIEEE transactions on automatic control Vol. 58; no. 12; pp. 3185 - 3190
Main Authors Elliott, Robert J., Tak Kuen Siu, Lau, John W.
Format Journal Article
LanguageEnglish
Published New York IEEE 01.12.2013
The Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subjects
algorithm
Equations
Expectation Maximization (EM)
financial data
hidden Markov chain
Hidden Markov models
Load modeling
Mathematical model
recursive filters
reference probability
Switches
threshold models
Time series analysis
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Summary: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.
ISSN:0018-9286
1558-2523
DOI:10.1109/TAC.2013.2261186