Linear Predictive Coding as an Estimator of Volatility
Information Theory
2007-07-13 v1 math.IT
Abstract
In 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.
Keywords
Cite
@article{arxiv.cs/0607107,
title = {Linear Predictive Coding as an Estimator of Volatility},
author = {Louis Mello},
journal= {arXiv preprint arXiv:cs/0607107},
year = {2007}
}