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Methods of Efficient Parameter Estimation in Control Problems
Efficient Parameter Estimation Control Problems
2015/8/5
Methods of Efficient Parameter Estimation in Control Problems.
CREDIT RISK AND INCOMPLETE INFORMATION:: FILTERING AND EM PARAMETER ESTIMATION
contagion Default risk EM algorithm extended Kalman filter factor models partial information
2011/9/2
We consider a reduced-form credit risk model where default intensities and interest rate are functions of a not fully observable Markovian factor process, thereby introducing an information-driven def...