Estimation of structural changes in nonlinear time series models by using particle filters and genetic programming

DOI10.1002/ACS.2578MaRDI QIDQ2828580zbMATH OpenOpenAlexFDO

Authors Jianjun Lu, Shozo Tokinaga

Publication date 26 October 2016

Published in International Journal of Adaptive Control and Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/acs.2578

zbMATH Keywords

structural changesparticle filtersstate estimationgenetic programmingnonlinear time series modeling

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Approximation methods and heuristics in mathematical programming (90C59) Filtering in stochastic control theory (93E11) Nonlinear systems in control theory (93C10) Estimation and detection in stochastic control theory (93E10)

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Cites work

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• Tests of Equality Between Sets of Coefficients in Two Linear Regressions
• The Value of Information Sharing in a Two-Level Supply Chain

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