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)

Full work available at URL https://doi.org/10.1007/BF01201979

zbMATH Keywords

ARMA modelsextended Kalman filterpredictionsignal filteringwavelet transform

Mathematics Subject Classification ID

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

Review text

This paper presents applications of the state-dependent vector hybrid and nonlinear ARMA models presented in a recent companion paper of the authors [Circuits Syst. Signal Process. 20, 551-574 (2001; Zbl 0995.93071)]. These applications include signal filtering, prediction and control.

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Cites work

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

Cited in

(4)

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

Describes a project that uses

Uses Software

• itsmr

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