State-dependent vector hybrid linear and nonlinear ARMA modeling: Applications

DOI10.1007/BF01201979zbMATH Open1031.93153MaRDI QIDQ5953489FDOQ5953489

Authors: Y. Zheng, Zhiping Lin, D. B. H. Tay 

Publication date: 17 September 2002

Published in: Circuits, Systems, and Signal Processing (Search for Journal in Brave)

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zbMATH Keywords

predictionwavelet transformARMA modelsextended Kalman filtersignal filtering

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Filtering in stochastic control theory (93E11) Numerical methods for wavelets (65T60) Computing methodologies for image processing (68U10) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12) Transformations (93B17)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
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• State-dependent vector hybrid linear and nonlinear ARMA modeling: Theory

Cited In (4)

• State representations of ARMA-models
• LPV-ARX representations of LPV state-space models with affine dependence
• Stock market prediction and portfolio selection models: a survey
• State-dependent vector hybrid linear and nonlinear ARMA modeling: Theory

Uses Software

• itsmr

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