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Simulation and estimation for hidden Markov models of Brownian motion

dc.contributor.authorAu, Khanhav
dc.date.accessioned2011-07-13T21:32:15Z
dc.date.accessioned2022-10-27T00:43:49Z
dc.date.available2011-07-13T21:32:15Z
dc.date.available2022-10-27T00:43:49Z
dc.date.copyright2001
dc.date.issued2001
dc.description.abstractThis thesis examines methods of simulation and parameter estimation for hidden Markov models. In Chapter 2, we set out the framework of the hidden Markov model and discusses the various problem of interests in modelling. We give procedures for implementing these solutions in practice. In Chapter 3, we discuss the expectation-maximisation (EM) algorithm. This algorithm provide the framework for parameters estimation of a hidden Markov model when the state space of the observations can be discrete or continuous. In Chapter 4, we look at an application of hidden Markov model to the hidden Markov Brownian motion model. Numerical examples are introduced for two and three state Markov chains. Comparison of the results for the simulation and the actual values are made. All computations and simulations were done using SPLUS. The code is given in the appendix.en_NZ
dc.formatpdfen_NZ
dc.identifier.urihttps://ir.wgtn.ac.nz/handle/123456789/25341
dc.languageen_NZ
dc.language.isoen_NZ
dc.publisherTe Herenga Waka—Victoria University of Wellingtonen_NZ
dc.rights.holderAll rights, except those explicitly waived, are held by the Authoren_NZ
dc.rights.licenseAuthor Retains Copyrighten_NZ
dc.rights.urihttps://www.wgtn.ac.nz/library/about-us/policies-and-strategies/copyright-for-the-researcharchive
dc.subjectMarkov processesen_NZ
dc.subjectStatistics and Operations researchen_NZ
dc.titleSimulation and estimation for hidden Markov models of Brownian motionen_NZ
dc.typeTexten_NZ
thesis.degree.disciplineStatistics and Operations Researchen_NZ
thesis.degree.grantorTe Herenga Waka—Victoria University of Wellingtonen_NZ
thesis.degree.levelMastersen_NZ
thesis.degree.nameMaster of Scienceen_NZ
vuwschema.type.vuwAwarded Research Masters Thesisen_NZ

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