Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications
Online ISSN : 2188-4749
Print ISSN : 2188-4730
The 38th ISCIE International Symposium on Stochastic Systems Theory and Its Applications (Nov. 2006, Suwa, Nagano)
Recursive Parameter Identification for Infinite-dimensional Factor Model by using Particle Filter
Shin Ichi AiharaArunabha Bagchi
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2007 Volume 2007 Pages 40-45

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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.
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© 2007 ISCIE Symposium on Stochastic Systems Theory and Its Applications
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