Nonlinear filters for hidden Markov models of regime change with fast mean-reverting states

Mathematics

• Asymptotics 100%
• Hidden Markov Model 100%
• Markov Chain 50%
• Timescale 50%
• Coincides 50%
• Ornstein Uhlenbeck Process 50%
• State Variable 50%
• Invariant Distribution 50%
• Strong Convergence 50%
• Weak Convergence 50%
• Approach Infinity 50%
• Continuous Time Markov Chain 50%
• Hidden State 50%

Keyphrases

• Regime Change 100%
• Markov Chain Modeling 33%
• Papanicolaou 33%