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ON THE NONLINEAR ESTIMATION OF GARCH MODELS. USING AN EXTENDED KALMAN FILTERPROCEEDINGS OF THE WORLD CONGRESS ON ENGINEERING
(INTERNATIONAL ASSOCIATION OF ENGINEERS, 2016)
ON THE NONLINEAR ESTIMATION OF GARCH MODELS. USING AN EXTENDED KALMAN FILTER
(INTERNATIONAL ASSOCIATION OF ENGINEERS, 2011)
A new mathematical representation, based on a
discrete-time nonlinear state space formulation, is presented
to characterize a Generalized Auto Regresive Conditional Heteroskedasticity
(GARCH) model. Nonlinear parameter ...
Inclusion of the frequency effect in the lumped parameters transmission line model: State space formulation
(2009-07-01)
The objective of this paper is to include the frequency dependence of the longitudinal parameters in the lumped parameters line model. The distributed nature of the transmission line was approximated by a cascade of π ...
The use of Gramian matrices for aeroelastic stability analysis
(2013-05-13)
Most of the established procedures for analysis of aeroelastic flutter in the development of aircraft are based on frequency domain methods. Proposing new methodologies in this field is always a challenge, because the new ...
The use of Gramian matrices for aeroelastic stability analysis
(2013-05-13)
Most of the established procedures for analysis of aeroelastic flutter in the development of aircraft are based on frequency domain methods. Proposing new methodologies in this field is always a challenge, because the new ...
Space-time quantum actions
(2021)