An online estimation scheme for a Hull–White model with HMM-driven parameters (original) (raw)

Statistical Methods and Applications, 2009

Abstract

This paper considers the implementation of a mean-reverting interest rate model with Markov-modulated parameters. Hidden Markov model filtering techniques in Elliott (1994, Automatica, 30:1399–1408) and Elliott et al. (1995, Hidden Markov Models: Estimation and Control. Springer, New York) are employed to obtain optimal estimates of the model parameters via recursive filters of auxiliary quantities of the observation process. Algorithms are

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