### 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 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 |

### Keywords

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

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## 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).