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

Arunabha Bagchi

Research output: Chapter in Book/Report/Conference proceedingConference contributionAcademicpeer-review

Abstract

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.
Original languageEnglish
Title of host publicationProceedings of the 38th ISCIE International Symposium on Stochastic Systems Theory and Its Applications
Subtitle of host publicationRako Hananoi Hotel, Nagano, Japan, November 9-10, 2006
EditorsK. Kamajima, ShinIchi Aihara
Place of PublicationKyoto
PublisherInstitute of Systems, Control and Information Engineers (ISCIE)
Pages40-45
Number of pages6
ISBN (Print)4-915740-23-0
Publication statusPublished - 2007
Event38th ISCIE International Symposium on Stochastic Systems Theory and Its Applications, SSS 2006 - Rako Hananoi Hotel, Suwa, Nagano, Japan
Duration: 9 Nov 200610 Nov 2006
Conference number: 38

Conference

Conference38th ISCIE International Symposium on Stochastic Systems Theory and Its Applications, SSS 2006
Abbreviated titleSSS
CountryJapan
CitySuwa, Nagano
Period9/11/0610/11/06

Fingerprint

Identification (control systems)

Keywords

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

Cite this

Bagchi, A. (2007). Recursive parameter identification for infinite-dimensional factor model by using particle filter. In K. Kamajima, & S. Aihara (Eds.), 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).
Bagchi, Arunabha. / Recursive parameter identification for infinite-dimensional factor model by using particle filter. Proceedings of the 38th ISCIE International Symposium on Stochastic Systems Theory and Its Applications: Rako Hananoi Hotel, Nagano, Japan, November 9-10, 2006. editor / K. Kamajima ; ShinIchi Aihara. Kyoto : Institute of Systems, Control and Information Engineers (ISCIE), 2007. pp. 40-45
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title = "Recursive parameter identification for infinite-dimensional factor model by using particle filter",
abstract = "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.",
keywords = "IR-62175, EWI-11946, METIS-246031",
author = "Arunabha Bagchi",
year = "2007",
language = "English",
isbn = "4-915740-23-0",
pages = "40--45",
editor = "K. Kamajima and ShinIchi Aihara",
booktitle = "Proceedings of the 38th ISCIE International Symposium on Stochastic Systems Theory and Its Applications",
publisher = "Institute of Systems, Control and Information Engineers (ISCIE)",

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Bagchi, A 2007, Recursive parameter identification for infinite-dimensional factor model by using particle filter. in K Kamajima & S Aihara (eds), 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.

Proceedings of the 38th ISCIE International Symposium on Stochastic Systems Theory and Its Applications: Rako Hananoi Hotel, Nagano, Japan, November 9-10, 2006. ed. / K. Kamajima; ShinIchi Aihara. Kyoto : Institute of Systems, Control and Information Engineers (ISCIE), 2007. p. 40-45.

Research output: Chapter in Book/Report/Conference proceedingConference contributionAcademicpeer-review

TY - GEN

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

AU - Bagchi, Arunabha

PY - 2007

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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

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Bagchi A. Recursive parameter identification for infinite-dimensional factor model by using particle filter. In Kamajima K, Aihara S, editors, Proceedings of the 38th ISCIE International Symposium on Stochastic Systems Theory and Its Applications: Rako Hananoi Hotel, Nagano, Japan, November 9-10, 2006. Kyoto: Institute of Systems, Control and Information Engineers (ISCIE). 2007. p. 40-45