CIRJE-F-337 | "Style Analysis Based on a General State Space Model and Monte Carlo Filter" |
Author Name | Kobayashi, Takao, Seisho Sato and Akihiko Takahashi |
Date | April 2005 |
Full Paper | PDF file@ |
Remarks | @ |
Abstract |
This paper proposes a new approach to style analysis by utilizing a general state
space model and Monte Carlo filter. In particular,We regard coefficients of style indices
as state variables in the state space model and apply Monte Carlo filter as estimation
method. Moreover, an empirical analysis using actual funds' data confirms the validity
of our approach. |