Wavelets in state space models

DOI10.1002/ASMB.496MaRDI QIDQ4676852zbMATH OpenOpenAlexFDO

Authors Eliana Zandonade, Pedro A. Morettin

Publication date 20 May 2005

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.496

zbMATH Keywords

Kalman filterstate space modelsswitching modelwavelets

Mathematics Subject Classification ID

Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical methods for wavelets (65T60) Filtering in stochastic control theory (93E11)

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Cites work

• scientific article; zbMATH DE number 3903784 (Why is no real title available?)
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• scientific article; zbMATH DE number 52869 (Why is no real title available?)
• scientific article; zbMATH DE number 1313655 (Why is no real title available?)
• Smoothness priors analysis of time series
• Ten Lectures on Wavelets
• Time series: theory and methods.

Cited in

(5)

• A note on state space representations of locally stationary wavelet time series
• Dynamic wavelet and equivalent models
• Wavelet estimation of state space models
• scientific article; zbMATH DE number 2219571 (Why is no real title available?)
• State space Markov switching models using wavelets

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