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

Mohamed Al-Lawati; W.P. Malcolm

doi:10.24200/squjs.vol15iss0pp87-100

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

Mohamed Al-Lawati, W.P. Malcolm

Sultan Qaboos University Journal For Science2010doi:10.24200/squjs.vol15iss0pp87-100

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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.

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Mohamed Al-Lawati#2 W.P. Malcolm#3

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