Regime switching volatility models provide a tractable method of modelling stochastic volatility. Currently the most popular method of regime switching calibration is the Hamilton filter. We propose using the Baum-Welch algorithm, an established technique from Engineering, to calibrate regime switching models instead. We demonstrate the Baum-Welch algorithm and discuss the significant advantage...

Regime switching volatility models provide a tractable method of modelling stochastic volatility. Currently the most popular method of regime switching calibration is the Hamilton filter. We propose using the Baum-Welch algorithm, an established technique from Engineering, to calibrate regime switching models instead. We demonstrate the Baum-Welch algorithm and discuss the significant advantage...

In this paper, we generalize some results of Chandra and Goswami [4] for pairwise negatively dependent random variables (henceforth r.v.’s). Furthermore, we give Baum and Katz’s [1] type results on estimate for the rate of convergence in these laws.

We propose a new method for the estimation of parameters of hidden diffusion processes. Based on parametrization of the transition matrix, the Baum-Welch algorithm is improved. The algorithm is compared to the particle filter in application to the noisy periodic systems. It is shown that the modified Baum-Welch algorithm is capable of estimating the system parameters with better accuracy than p...

Topological rigidity is an analogue of the Baum-Connes conjecture, and is motivated by Mostow rigidity and Margulis superrigidity. I will discuss some of the places where this heuristic reasoning fails, and the rigidity shows some cracks – that are rather different than the places where strong forms of the Baum-Connes conjecture fails.

We construct a KK-theory for Banach algebras, equivariant with respect to the action of a groupoid. We prove the Baum–Connes conjecture with commutative coefficients for hyperbolic groups and for the Poincaré groupoids of foliations with a compact base and a longitudinal Riemannian metrics with negative sectional curvature. Mots clés : théorie de Kasparov ; conjecture de Baum–Connes ; algèbres ...

Continuous-state hidden Markov models (CS-HMMs) are developed as a tool for signal classification. Analogs of the Baum, Viterbi, and Baum–Welch algorithms are formulated for this class of models. The CS-HMM algorithms are then specialized to hidden Gauss–Markov models (HGMMs) with linear Gaussian state-transition and output densities. A new Gaussian refactorization lemma is used to show that th...