TY - GEN
T1 - Exact fast smoothing in switching models with application to stochastic volatility
AU - Gorynin, Ivan
AU - Derrode, Stephane
AU - Monfrini, Emmanuel
AU - Pieczynski, Wojciech
N1 - Publisher Copyright:
© 2015 EURASIP.
PY - 2015/12/22
Y1 - 2015/12/22
N2 - We consider the problem of statistical smoothing in nonlinear non-Gaussian systems. Our novel method relies on a Markov-switching model to operate recursively on series of noisy input data to produce an estimate of the underlying system state. We show through a set of experiments that our technique is efficient within the framework of the stochastic volatility model.
AB - We consider the problem of statistical smoothing in nonlinear non-Gaussian systems. Our novel method relies on a Markov-switching model to operate recursively on series of noisy input data to produce an estimate of the underlying system state. We show through a set of experiments that our technique is efficient within the framework of the stochastic volatility model.
KW - Bayesian smoother
KW - Conditionally Gaussian linear state-space model
KW - Nonlinear systems
KW - Smoothing in switching systems
KW - Stochastic volatility
U2 - 10.1109/EUSIPCO.2015.7362518
DO - 10.1109/EUSIPCO.2015.7362518
M3 - Conference contribution
AN - SCOPUS:84963969144
T3 - 2015 23rd European Signal Processing Conference, EUSIPCO 2015
SP - 924
EP - 928
BT - 2015 23rd European Signal Processing Conference, EUSIPCO 2015
PB - Institute of Electrical and Electronics Engineers Inc.
T2 - 23rd European Signal Processing Conference, EUSIPCO 2015
Y2 - 31 August 2015 through 4 September 2015
ER -