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20132025
most citedThe column measure and Gradient-Free Gradient Boosting

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stat.ME2013

Robustification of Elliott's on-line EM algorithm for HMMs

Christina Erlwein, Peter Ruckdeschel

In this paper, we establish a robustification of an on-line algorithm for modelling asset prices within a hidden Markov model (HMM). In this HMM framework, parameters of the model…