GARCH modelling of covariance in dynamical estimation of inverse solutions

DOI10.1016/j.physleta.2004.10.045zbMath1123.62317OpenAlexW2084638931MaRDI QIDQ2463143

Okito Yamashita, Andreas Galka, Tohru Ozaki

Publication date: 5 December 2007

Published in: Physics Letters. A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physleta.2004.10.045

zbMATH Keywords

inverse problemKalman filteringGARCHmultivariate time seriesstate space modelling

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Filtering in stochastic control theory (93E11)

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