Wavelets in state space models

Eliana Zandonade and Pedro A. Morettin

Applied Stochastic Models in Business and Industry, 2003, vol. 19, issue 3, 199-219

Abstract: In 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.

Date: 2003
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https://doi.org/10.1002/asmb.496

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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmbi:v:19:y:2003:i:3:p:199-219

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