Recursive Parameter Identification for Infinite-dimensional Factor Model by Using Particle Filter -application to Us-treasury Bonds-
نویسندگان
چکیده
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.
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