Filtering and M-ary Detection of Markov Modulated Mean Reverting Model

Authors

Lakhdar Aggoun, Department of Mathematics and Statistics, College of Science, Sultan Qaboos University, P.O. Box 36, Postal code 123, Muscat, Sultanate of Oman
Mohamed Al-Lawati, Department of Mathematics and Statistics, College of Science, Sultan Qaboos University, P.O. Box 36, Postal code 123, Muscat, Sultanate of Oman
W.P. Malcolm, Australian National University, Canberra Australia

Abstract

In an earlier paper we developed a stochastic model incorporating a double-Markov modulated mean-reversion model. The model is based on an explicit discretisation of the corresponding continuous time dynamics. Here we discuss parameter estimation via the technique of M-ary detection.

Recommended Citation

Aggoun, Lakhdar; Al-Lawati, Mohamed; and Malcolm, W.P. (2010) Filtering and M-ary Detection of Markov Modulated Mean Reverting Model, Sultan Qaboos University Journal For Science: Vol. 15: Iss. 1, 87-100.
DOI: https://doi.org/10.24200/squjs.vol15iss0pp87-100
Available at: https://squjs.squ.edu.om/squjs/vol15/iss1/1