Wavelets in state space models
Copyright policy )Wavelets in state space models
AbstractIn this paper, we consider the utilization of wavelets in conjunction with state space models. Specifically, the parameters in the system matrix are expanded in wavelet series and estimated via the Kalman Filter and the EM algorithm. In particular this approach is used for switching models. Two applications are given, one to the problem of detecting the paths of targets using an array of sensors, and the other to a series of daily spreads between two Brazilian bonds. Copyright © 2003 John Wiley & Sons, Ltd.
- Universidade Federal do Espírito Santo Brazil
- UNIVERSIDADE DE SAO PAULO Brazil
- Universidade de São Paulo Brazil
state space models, Point estimation, Nontrigonometric harmonic analysis involving wavelets and other special systems, wavelets, Filtering in stochastic control theory, switching model, Time series, auto-correlation, regression, etc. in statistics (GARCH), Numerical methods for wavelets, Switching theory, application of Boolean algebra; Boolean functions, Kalman filter
state space models, Point estimation, Nontrigonometric harmonic analysis involving wavelets and other special systems, wavelets, Filtering in stochastic control theory, switching model, Time series, auto-correlation, regression, etc. in statistics (GARCH), Numerical methods for wavelets, Switching theory, application of Boolean algebra; Boolean functions, Kalman filter
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