Recursive Supervised Estimation of a Markov-Switching GARCH Process in the Short-Time Fourier Transform Domain

A. Abramson, I. Cohen. Recursive Supervised Estimation of a Markov-Switching GARCH Process in the Short-Time Fourier Transform Domain. IEEE Transactions on Signal Processing, 55(7-1):3227-3238, 2007. [doi]

Authors

A. Abramson

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I. Cohen

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