Linear Predictive Coding as an Estimator of Volatility
<|reference_start|>Linear Predictive Coding as an Estimator of Volatility: 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.<|reference_end|>
@article{mello2006linear,
    title={Linear Predictive Coding as an Estimator of Volatility},
    author={Louis Mello},
    journal={arXiv preprint arXiv:cs/0607107},
    year={2006},
    archivePrefix={arXiv},
    eprint={cs/0607107},
    primaryClass={cs.IT math.IT}
}