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State space modeling of long-memory processes
(INST MATHEMATICAL STATISTICS, 1998)
This paper develops a state space modeling for long-range dependent data. Although a long-range dependent process has an infinite-dimensional state space representation, it is shown that by using the Kalman filter, the ...
A reduced order state space model for aeroelastic analysis in time domain
(2017-02-01)
The objective of this paper is to describe a new method for modeling aeroelastic system in time domain based on a modification of the Laguerre Polynomials to represent complex quantities. These polynomials are used to ...
State Space Models for Dynamic Style Analysis of PortfoliosState Space Models for Dynamic Style Analysis of Portfolios
(Sociedade Brasileira de Econometria, 2006)
State space models with spatial deformation
(Environmental and Ecological Statistics, 2013)
ON THE NONLINEAR ESTIMATION OF GARCH MODELS. USING AN EXTENDED KALMAN FILTERPROCEEDINGS OF THE WORLD CONGRESS ON ENGINEERING
(INTERNATIONAL ASSOCIATION OF ENGINEERS, 2016)
Forecasting Brazilian inflation by its aggregate and disaggregated data: a test of predictive power by forecast horizon
(2013-12-09)
This work aims to compare the forecast efficiency of different types of methodologies applied to Brazilian Consumer inflation (IPCA). We will compare forecasting models using disaggregated and aggregated data over twelve ...
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 ...
Comparing volatility forecasting models during the global financial crisis
(Universidade Federal de Minas GeraisBrasilFCE - DEPARTAMENTO DE CIÊNCIAS ADMINISTRATIVASICX - DEPARTAMENTO DE ESTATÍSTICAUFMG, 2016)
Convex invertible cones of state space systems
(Springer-verlag London LtdGodalmingInglaterra, 1997)