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Unsupervised learning of asymmetric high-order autoregressive stochastic volatility model

Abstract: 

We introduce a new estimation algorithm specifically designed for the latent high-order autoregressive models. It implements the concept of the filter-based maximum likelihood. Our approach is fully deterministic and is less computationally demanding than the traditional Monte Carlo Markov chain techniques. The simulation experiments confirm the interest of our approach.

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Paper Details

Authors:
Ivan Gorynin, Emmanuel Monfrini, Wojciech Pieczynski
Submitted On:
7 March 2017 - 6:12am
Short Link:
Type:
Poster
Event:
Presenter's Name:
Ivan Gorynin
Paper Code:
ICASSP1701
Document Year:
2017
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Document Files

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[1] Ivan Gorynin, Emmanuel Monfrini, Wojciech Pieczynski, "Unsupervised learning of asymmetric high-order autoregressive stochastic volatility model", IEEE SigPort, 2017. [Online]. Available: http://sigport.org/1684. Accessed: Sep. 20, 2017.
@article{1684-17,
url = {http://sigport.org/1684},
author = {Ivan Gorynin; Emmanuel Monfrini; Wojciech Pieczynski },
publisher = {IEEE SigPort},
title = {Unsupervised learning of asymmetric high-order autoregressive stochastic volatility model},
year = {2017} }
TY - EJOUR
T1 - Unsupervised learning of asymmetric high-order autoregressive stochastic volatility model
AU - Ivan Gorynin; Emmanuel Monfrini; Wojciech Pieczynski
PY - 2017
PB - IEEE SigPort
UR - http://sigport.org/1684
ER -
Ivan Gorynin, Emmanuel Monfrini, Wojciech Pieczynski. (2017). Unsupervised learning of asymmetric high-order autoregressive stochastic volatility model. IEEE SigPort. http://sigport.org/1684
Ivan Gorynin, Emmanuel Monfrini, Wojciech Pieczynski, 2017. Unsupervised learning of asymmetric high-order autoregressive stochastic volatility model. Available at: http://sigport.org/1684.
Ivan Gorynin, Emmanuel Monfrini, Wojciech Pieczynski. (2017). "Unsupervised learning of asymmetric high-order autoregressive stochastic volatility model." Web.
1. Ivan Gorynin, Emmanuel Monfrini, Wojciech Pieczynski. Unsupervised learning of asymmetric high-order autoregressive stochastic volatility model [Internet]. IEEE SigPort; 2017. Available from : http://sigport.org/1684