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

    Keywords

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

    Fingerprint Dive into the research topics of 'Recursive parameter identification for infinite-dimensional factor model by using particle filter'. Together they form a unique fingerprint.

  • 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).