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

DOI10.1007/BF01201979MaRDI QIDQ5953489zbMATH OpenFDO

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)

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)

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Cites work

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• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• scientific article; zbMATH DE number 605915 (Why is no real title available?)
• scientific article; zbMATH DE number 954235 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• Generalized autoregressive conditional heteroscedasticity
• 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

Describes a project that uses

Uses Software

• itsmr

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