GaussianMixtureModel
于 2011-01-21 发布
文件大小:164KB
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代码说明：
金融数据分析的一个新的程序码 可应用于数据分析 价格以及期货指数估计 还可用于 几何布朗运动的模拟("An estimation technique for Time Indexed gaussian Mixture Models", we propose a model specification that can be used to describe data with spikes, jumps, mean reversion, geometric brownian motion, you name it... We then develop an estimation procedures to extract the parameters from data generated from this model. The original intent was to develop a model for electricity price spike, however it can be extended far beyond this. A more general extension of this basic idea using particle filtering is developed in another paper.)
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