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

DOI10.1007/BF01201979zbMath1031.93153MaRDI QIDQ5953489

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

Publication date: 17 September 2002

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

zbMATH Keywords

predictionextended Kalman filterwavelet transformsignal filteringARMA models

Mathematics Subject Classification ID

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

Related Items (2)

State-dependent vector hybrid linear and nonlinear ARMA modeling: Theory ⋮ Stock market prediction and portfolio selection models: a survey

Uses Software

• itsmr

Cites Work

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