Recursive parameter identification for infinite-dimensional factor model by using particle filter

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Aihara, Shin Ichi and Bagchi, Arunabha (2007) Recursive parameter identification for infinite-dimensional factor model by using particle filter. In: 38th ISCIE International Symposium on Stochastic Systems Theory and Its Applications, 9-10 Nov 2006, Suwa, Nagano, Japan.

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Abstract:We consider the dynamics of forward rate process which is modeled by the parabolic type infinite-dimensional factor model. The parameters included in this parabolic model are estimated by using the yield curve as the observation data. In this paper, we propose the filtering and identification method for the parabolic type factor model by using the particle filter algorithm.
Item Type:Conference or Workshop Item
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Electrical Engineering, Mathematics and Computer Science (EEMCS)
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Link to this item:http://purl.utwente.nl/publications/62175
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