Style Analysis Based on a General State Space Model and Monte Carlo Filter
Takao Kobayashi, Seisho Sato, Akihiko Takahashi · RePEc: Research Papers in Economics · 2005
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.