DocumentCode
2250416
Title
Uncertainty Management for Estimation in Dynamical Systems
Author
Baili, Hana
Author_Institution
Dept. of Signal Process. & Electron. Syst., Ecole Superieure d´´Electricite, Gif sur Yvette
fYear
2006
fDate
4-7 Dec. 2006
Firstpage
1992
Lastpage
1995
Abstract
A novel black-box model for time series of prices analysis is proposed. It is constructed using the technique of "shaping filter". The model identification is then proposed; it is based upon some stochastic calculus and a couple of results from Levy processes theory. Neither the modeling nor the estimation parts are specific to the application, several engineering fields are concerned with this work
Keywords
pricing; stochastic processes; time series; Levy process theory; black-box model; dynamical systems; model identification; price analysis; shaping filter; stochastic calculus; time series; uncertainty management; Calculus; Filters; Polynomials; Probability distribution; Signal analysis; Signal processing; Stochastic processes; Telephony; Time series analysis; Uncertainty;
fLanguage
English
Publisher
ieee
Conference_Titel
Circuits and Systems, 2006. APCCAS 2006. IEEE Asia Pacific Conference on
Conference_Location
Singapore
Print_ISBN
1-4244-0387-1
Type
conf
DOI
10.1109/APCCAS.2006.342278
Filename
4145809
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