Paper Review: “Parameter Estimation in a
Stochastic Drift Hidden Markov Model with a Cap”
byJ. Hernandez, D. Saunders & L. Seco
Anatoliy Swishchuk
Math & Comp Finance Lab,
Dept of Math & Stat, U of C
“Lunch at the Lab” Talk
February 3, 2006
Interpretation of the Model and Specification
Difference Between this Model and Pilipovich Model
Transition Probabilities and Space
Mixing Coefficients Through P_t
Definition of Hidden Markov Model
Stationarity and Hidden Markov Model
Follows from the Birkhoff’s Ergodic Result
An Example: the Ornstein-Uhlenbeck Model
Limits for Mean and for Covariance Matrix
Gaussian Stationary Distribution
To Study the Law of the Process Y
Joint Distribution of Y_t and Y_{t+h}
Final Calculation of Parameters