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Parameter estimation in a weak hidden Markov model with independent drift and volatility. (English) Zbl 1407.62394

Mamon, Rogemar S. (ed.) et al., Hidden Markov models in finance. Further developments and applications. Volume II. New York, NY: Springer. Int. Ser. Oper. Res. Manag. Sci. 209, 227-240 (2014).
MSC:  62P05 62M10 62M05
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