Results 11 to 20 of about 963,951 (309)
Model Uncertainty, State Uncertainty, and State-space Models [PDF]
SSRN Electronic Journal, 2013 State-space models have been increasingly used to study macroeconomic and financial problems. A state-space representation consists of two equations, a measurement equation which links the observed variables to unobserved state variables and a transition
Young, ER +5 more
core +5 more sources
Wavelets in state space models [PDF]
Applied Stochastic Models in Business and Industry, 2003 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.
Zandonade, Eliana, Morettin, Pedro A.
openaire +2 more sources
Bayesian State Space Models in Macroeconometrics [PDF]
SSRN Electronic Journal, 2020 AbstractState space models play an important role in macroeconometric analysis and the Bayesian approach has been shown to have many advantages. This paper outlines recent developments in state space modelling applied to macroeconomics using Bayesian methods.
Joshua C.C. Chan, Rodney W. Strachan
openaire +4 more sources
CoRR, 2023 This paper studies sequence modeling for prediction tasks with long range dependencies. We propose a new formulation for state space models (SSMs) based on learning linear dynamical systems with the spectral filtering algorithm (Hazan et al. (2017)).
Naman Agarwal +3 more
openaire +2 more sources
Graphical State Space Model [PDF]
2021 IEEE International Conference on Unmanned Systems (ICUS), 2021 In this paper, a new framework, named as graphical state space model, is proposed for the real time optimal estimation of a class of nonlinear state space model. By discretizing this kind of system model as an equation which can not be solved by Extended Kalman filter, factor graph optimization can outperform Extended Kalman filter in some cases.
openaire +2 more sources
Identification and data-driven model reduction of state-space representations of lossless and dissipative systems from noise-free data [PDF]
, 2011 We illustrate procedures to identify a state-space representation of a lossless- or dissipative system from a given noise-free trajectory; important special cases are passive- and bounded-real systems.
Trentelman, Harry +9 more
core +1 more source
Modeling Volatility Using State Space Models [PDF]
International Journal of Neural Systems, 1997 In time series problems, noise can be divided into two categories: dynamic noise which drives the process, and observational noise which is added in the measurement process, but does not influence future values of the system. In this framework, we show that empirical volatilities (the squared relative returns of prices) exhibit a significant amount of
Jens Timmer, Andreas S. Weigend
openaire +2 more sources
Frontiers in Energy Research, 2022 Due to the increasing number of direct current (DC) loads in electric vehicles (EVs), DC–DC converters are widely used in EV applications. Hence, a DC distribution system with DC–DC converters is more efficient.
T. Saravanakumar, R. Saravana kumar
doaj +1 more source
Granger causality for state-space models [PDF]
Physical Review E, 2015 Granger causality, a popular method for determining causal influence between stochastic processes, is most commonly estimated via linear autoregressive modeling. However, this approach has a serious drawback: if the process being modeled has a moving average component, then the autoregressive model order is theoretically infinite, and in finite sample ...
Barnett, Lionel, Seth, Anil K.
openaire +3 more sources
Distributed parameter identification algorithm for large‐scale interconnected systems
IET Control Theory & Applications, 2023 This paper deals with parameter estimation problem of large‐scale systems. A recursive distributed parameter estimation algorithm, based on the minimization of the prediction estimation error method, is developed.
Mounira Hamdi +4 more
doaj +1 more source