Linear Predictive Coding as an Estimator of Volatility

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dc.creatorMello, Louis
dc.date2006-07-24
dc.date.accessioned2026-07-07T08:16:40Z
dc.date.available2026-07-07T08:16:40Z
dc.descriptionIn this paper, we present a method of estimating the volatility of a signal that displays stochastic noise (such as a risky asset traded on an open market) utilizing Linear Predictive Coding. The main purpose is to associate volatility with a series of statistical properties that can lead us, through further investigation, toward a better understanding of structural volatility as well as to improve the quality of our current estimates.
dc.identifierhttps://arxiv.org/abs/cs/0607107
dc.identifierhttp://arxiv.org/abs/cs/0607107
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/133857
dc.subjectInformation Theory
dc.titleLinear Predictive Coding as an Estimator of Volatility
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