Forecasting continuous-time processes with applications to signal extraction

DOI10.1007/S10463-012-0373-XMaRDI QIDQ2393151zbMATH OpenOpenAlexFDO

Authors Tucker S. McElroy

Publication date 7 August 2013

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10463-012-0373-x

zbMATH Keywords

signal extractionstochastic processCARIMA

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Signal detection and filtering (aspects of stochastic processes) (60G35)

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Cites work

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• On the Discretization of Continuous-Time Filters for Nonstationary Stock and Flow Time Series
• Representations of continuous-time ARMA processes
• Selection between models through multi-step-ahead forecasting
• Signal extraction from nonstationary time series

Cited in

(10)

• Extrapolation of real-time processes by their structural properties
• Signal extraction for nonstationary time series with diverse sampling rules
• CARMA processes as solutions of integral equations
• scientific article; zbMATH DE number 1463186 (Why is no real title available?)
• Signal extraction for finite nonstationary time series
• MATRIX FORMULAS FOR NONSTATIONARY ARIMA SIGNAL EXTRACTION
• Optimal forecasting of discrete stock and flow data generated by a higher order continuous time system
• Recent results in the theory and applications of CARMA processes
• Single-step and multiple-step forecasting in one-dimensional single chirp signal using MCMC-based Bayesian analysis
• Forecasting discrete stock and flow data generated by a second order continuous time system

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