Combining domain knowledge and statistical models in time series analysis

Tze Leung Lai and Samuel Po-Shing Wong

Papers from arXiv.org

Abstract: This paper describes a new approach to time series modeling that combines subject-matter knowledge of the system dynamics with statistical techniques in time series analysis and regression. Applications to American option pricing and the Canadian lynx data are given to illustrate this approach.

Date: 2007-02
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in IMS Lecture Notes Monograph Series 2006, Vol. 52, 193-209

Downloads: (external link)
http://arxiv.org/pdf/math/0702814 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:math/0702814

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().