Ivan Gorynin, Emmanuel Monfrini, Wojciech Pieczynski. Unsupervised learning of Markov-switching stochastic volatility with an application to market data. In Francesco A. N. Palmieri, Aurelio Uncini, Kostas I. Diamantaras, Jan Larsen, editors, 26th IEEE International Workshop on Machine Learning for Signal Processing, MLSP 2016, Vietri sul Mare, Salerno, Italy, September 13-16, 2016. pages 1-6, IEEE, 2016. [doi]
Abstract is missing.