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.
Keywords
Publication details
- DOI
- 10.24200/squjs.vol15iss0pp87-100
- Journal
- Sultan Qaboos University Journal for Science, 15, 87
- Publisher
- Sultan Qaboos University
- Open access
- Gold open access
- License
- CC BY 4.0
Cite this article
APA 7
Aggoun, L., Al-Lawati, M., & Malcolm, W. P. (2010). Filtering and M-ary Detection of Markov Modulated Mean Reverting Model. Sultan Qaboos University Journal for Science, 15, 87. https://doi.org/10.24200/squjs.vol15iss0pp87-100
MLA 9
Aggoun, Lakhdar, et al. "Filtering and M-ary Detection of Markov Modulated Mean Reverting Model." Sultan Qaboos University Journal for Science, vol. 15, 2010, pp. 87. https://doi.org/10.24200/squjs.vol15iss0pp87-100.
Chicago (author–date)
Aggoun, Lakhdar, Mohamed Al-Lawati, and William P. Malcolm. 2010. "Filtering and M-ary Detection of Markov Modulated Mean Reverting Model." Sultan Qaboos University Journal for Science 15: 87. https://doi.org/10.24200/squjs.vol15iss0pp87-100.
Harvard
Aggoun, L., Al-Lawati, M. and Malcolm, W. P. (2010) 'Filtering and M-ary Detection of Markov Modulated Mean Reverting Model', Sultan Qaboos University Journal for Science, 15, pp. 87. doi:10.24200/squjs.vol15iss0pp87-100.
Vancouver
Aggoun L, Al-Lawati M, Malcolm WP. Filtering and M-ary Detection of Markov Modulated Mean Reverting Model. Sultan Qaboos University Journal for Science. 2010;15:87. doi:10.24200/squjs.vol15iss0pp87-100
IEEE
L. Aggoun, M. Al-Lawati, and W. P. Malcolm, "Filtering and M-ary Detection of Markov Modulated Mean Reverting Model," Sultan Qaboos University Journal for Science, vol. 15, pp. 87, 2010, doi: 10.24200/squjs.vol15iss0pp87-100.