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)

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Cites work

• Generalized autoregressive conditional heteroscedasticity
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• scientific article; zbMATH DE number 3742453 (Why is no real title available?)
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
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• 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?)
• 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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