GARCH modelling of covariance in dynamical estimation of inverse solutions

DOI10.1016/j.physleta.2004.10.045zbMath1123.62317MaRDI QIDQ2463143

Okito Yamashita, Andreas Galka, Tohru Ozaki

Publication date: 5 December 2007

Published in: Physics Letters. A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physleta.2004.10.045

zbMATH Keywords

inverse problem; Kalman filtering; GARCH; multivariate time series; state space modelling

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

93E11: Filtering in stochastic control theory

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Decomposition of neurological multivariate time series by state space modelling, Whitening as a tool for estimating mutual information in spatiotemporal data sets

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