ダウンロード数: 446
タイトル: | On Factorial HMMs for Time Series in Finance |
著者: | Saidane, Mohamed Lavergne, Christian |
キーワード: | factor analysis HMM EM algorithm finance |
発行日: | Jun-2006 |
出版者: | Graduate School of Economics, Kyoto University |
引用: | Mohamed Saidane and Christian Lavergne; "On Factorial HMMs for Time Series in Finance", The Kyoto Economic Review, Vol. 75, pp.63-90 (2006) . |
誌名: | The Kyoto Economic Review |
巻: | 75 |
号: | 1 |
開始ページ: | 63 |
終了ページ: | 90 |
抄録: | In this article we propose a generalization of the linear factor model, that combines hidden Markov chain Models (HMM) with latent factor models. The HMM generates a piece-wise constant state evolution process and the observations are produced from the state vectors by a factor analysis observation process. This new switching specification provides an alternative, compact, model to handle intra-frame correlation in financial data. Furthermore, it allows variable dimension subspaces to be explored. For maximum likelihood estimation we have proposed an iterative approach based on the Expectation-Maximisation (EM) algorithm. Extensive Monte Carlo simulations and preliminary experiments obtained with a foreign exchange rate data set show promising results, especially for segmentation and tracking tasks. |
DOI: | 10.11179/ker.75.63 |
URI: | http://hdl.handle.net/2433/65607 |
出現コレクション: | Vol.75 No.1 |
このリポジトリに保管されているアイテムはすべて著作権により保護されています。