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

Arunabha Bagchi

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

Arunabha Bagchi

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

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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
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
Abbreviated title	SSS
Country/Territory	Japan
City	Suwa, Nagano
Period	9/11/06 → 10/11/06

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). 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)",

note = "38th ISCIE International Symposium on Stochastic Systems Theory and Its Applications, SSS 2006, SSS ; Conference date: 09-11-2006 Through 10-11-2006",

}

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 proceeding › Conference contribution › Academic › peer-review

TY - GEN

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

AU - Bagchi, Arunabha

N1 - Conference code: 38

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

T2 - 38th ISCIE International Symposium on Stochastic Systems Theory and Its Applications, SSS 2006

Y2 - 9 November 2006 through 10 November 2006

ER -

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

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

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Keywords

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