### Abstract

Original language | English |
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Title of host publication | Proceedings of the 38th ISCIE International Symposium on Stochastic Systems Theory and Its Applications |

Subtitle of host publication | Rako Hananoi Hotel, Nagano, Japan, November 9-10, 2006 |

Editors | K. Kamajima, ShinIchi Aihara |

Place of Publication | Kyoto |

Publisher | Institute of Systems, Control and Information Engineers (ISCIE) |

Pages | 40-45 |

Number of pages | 6 |

ISBN (Print) | 4-915740-23-0 |

Publication status | Published - 2007 |

Event | 38th ISCIE International Symposium on Stochastic Systems Theory and Its Applications, SSS 2006 - Rako Hananoi Hotel, Suwa, Nagano, Japan Duration: 9 Nov 2006 → 10 Nov 2006 Conference number: 38 |

### Conference

Conference | 38th ISCIE International Symposium on Stochastic Systems Theory and Its Applications, SSS 2006 |
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Abbreviated title | SSS |

Country | Japan |

City | Suwa, Nagano |

Period | 9/11/06 → 10/11/06 |

### Fingerprint

### Keywords

- IR-62175
- EWI-11946
- METIS-246031

### Cite this

*Proceedings of the 38th ISCIE International Symposium on Stochastic Systems Theory and Its Applications: Rako Hananoi Hotel, Nagano, Japan, November 9-10, 2006*(pp. 40-45). Kyoto: Institute of Systems, Control and Information Engineers (ISCIE).

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*Proceedings of the 38th ISCIE International Symposium on Stochastic Systems Theory and Its Applications: Rako Hananoi Hotel, Nagano, Japan, November 9-10, 2006.*Institute of Systems, Control and Information Engineers (ISCIE), Kyoto, pp. 40-45, 38th ISCIE International Symposium on Stochastic Systems Theory and Its Applications, SSS 2006, Suwa, Nagano, Japan, 9/11/06.

**Recursive parameter identification for infinite-dimensional factor model by using particle filter.** / Bagchi, Arunabha.

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › Academic › peer-review

TY - GEN

T1 - Recursive parameter identification for infinite-dimensional factor model by using particle filter

AU - Bagchi, Arunabha

PY - 2007

Y1 - 2007

N2 - We consider the dynamics of forward rate process which is modeled by the parabolic type infinite-dimensional factor model. The parameters included in this parabolic model are estimated by using the yield curve as the observation data. In this paper, we propose the filtering and identification method for the parabolic type factor model by using the particle filter algorithm.

AB - We consider the dynamics of forward rate process which is modeled by the parabolic type infinite-dimensional factor model. The parameters included in this parabolic model are estimated by using the yield curve as the observation data. In this paper, we propose the filtering and identification method for the parabolic type factor model by using the particle filter algorithm.

KW - IR-62175

KW - EWI-11946

KW - METIS-246031

M3 - Conference contribution

SN - 4-915740-23-0

SP - 40

EP - 45

BT - Proceedings of the 38th ISCIE International Symposium on Stochastic Systems Theory and Its Applications

A2 - Kamajima, K.

A2 - Aihara, ShinIchi

PB - Institute of Systems, Control and Information Engineers (ISCIE)

CY - Kyoto

ER -