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

DOI10.1007/BF01201978zbMath0995.93071MaRDI QIDQ5953488

Yuanjin Zheng, Zhiping Lin, David B. H. Tay

Publication date: 24 January 2002

Published in: Circuits, Systems, and Signal Processing (Search for Journal in Brave)

zbMATH Keywords

identificationmaximum likelihood estimationhidden Markov chainARMA modelautoregressive moving average modelexpectation-maximization algorithmfeedforward neural networknonstationary nonlinear processreliable multiple step ahead predictionsecond-order correlation

Mathematics Subject Classification ID

Identification in stochastic control theory (93E12)

Related Items (1)

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

Cites Work

• Analysis of time series subject to changes in regime
• On the convergence properties of the EM algorithm
• Optimization. Algorithms and consistent approximations
• State-dependent vector hybrid linear and nonlinear ARMA modeling: Applications
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