Sökning: "Henning Tansjö"

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  1. 1. Jump Estimation of Hidden Markov Models with Time-Varying Transition Probabilities

    Kandidat-uppsats, Lunds universitet/Matematisk statistik

    Författare :Henning Tansjö; [2020]
    Nyckelord :Jump estimation; Hidden Markov model; financial time series; clustering; unsupervised learning.; Mathematics and Statistics;

    Sammanfattning : The Hidden Markov model is applicable to a wide variety of fields. Applied to financial time series, its assumed underlying state sequence can reflect the time series' tendency to behave differently over different periods of time. In many situations, models could be improved by including exogenous data. LÄS MER