Hidden Markov Filter Estimation of the Occurrence Time of an Event in a Financial Market |
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| Authors: | Robert J Elliott |
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| Institution: | Haskayne School of Business, Scurfield Hall , University of Calgary , Calgary, Alberta, Canada |
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| Abstract: | Abstract In this paper, we use filtering techniques to estimate the occurrence time of an event in a financial market. The occurrence time is being viewed as a Markov stopping time with respect to the σ-field generated by a hidden Markov process. We also generalize our result to the Nth occurrence time of that event. |
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| Keywords: | Hidden Markov filter Stopping time |
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