HMM volatility estimation

Robert J. Elliott, W. Paul Malcolm, Allanus H. Tsoi. HMM volatility estimation. In 41st IEEE Conference on Decision and Control, CDC 2002, Las Vegas, NV, USA, December 10-13, 2002. pages 398-404, IEEE, 2002. [doi]

Authors

Robert J. Elliott

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W. Paul Malcolm

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Allanus H. Tsoi

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