Algorithmic modeling of TES processes

DOI10.1109/9.400470MaRDI QIDQ4850271zbMATH OpenOpenAlexFDO

Authors Predrag R. Jelenković, Benjamin Melamed

Publication date 6 June 1996

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/9.400470

zbMATH Keywords

histogramstationary time seriesempirical distributionmarginalsempirical autocorrelation functiontransform-expand-sampleTESsample path behaviorsZoutendijk's feasible direction method

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99) Signal detection and filtering (aspects of stochastic processes) (60G35) Survival analysis and censored data (62N99)

Recommendations

• The empirical TES methodology: Modeling empirical time series
• The transition and autocorrelation structure of tes processes
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• Regenerative simulation of TES processes

Cited in

(7)

• The transition and autocorrelation structure of tes processes
• The transition and autocorrelation structure of tes processes
• The run probabilities of tes processes
• Temporal shaping of simulated time series with cyclical sample paths
• Parallelization algorithms for modeling ARM processes
• MARM processes. II: The empirically-based subclass
• MARM processes. I: General theory

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