Multiple Model Adaptive Estimation For Time Series Analysis

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Multiple Model Adaptive Estimation for Time Series Analysis

Author : Ibrahim Dulger
Publisher :
ISBN 13 : 9781423529293
Total Pages : 153 pages
Book Rating : 4.5/5 (292 download)

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Book Synopsis Multiple Model Adaptive Estimation for Time Series Analysis by : Ibrahim Dulger

Download or read book Multiple Model Adaptive Estimation for Time Series Analysis written by Ibrahim Dulger and published by . This book was released on 2001-03 with total page 153 pages. Available in PDF, EPUB and Kindle. Book excerpt: Multiple Model Adaptive Estimation (MMAE) is a Bayesian technique that applies a bank of Kalman filters to predict future observations. Each Kalman filter is based on a different set of parameters and hence produces different residuals. The likelihood of each Kalman filter's prediction is determined by a magnitude of the residuals. Since some researchers have obtained good forecasts using a single Kalman filter, we tested MMAE's ability to make time series predictions. Our Kalman filters have a dynamics model based on a Box-Jenkins Auto-Regressive Moving Average (ARMA) model and a measure model with additive noise. The time-series prediction is based on the probabilistic weighted Kalman filter predictions. We make a probability interval about that estimate also based on the filter probabilities. In a Monte Carlo analysis, we test this MMAE approach and report the results based on many different criteria. Our analysis tests the robustness of the approach by testing its ability to make predictions when the Kalman filter dynamics models did not match the data generation time-series model. Our analysis indicates benefits in applying multiple model adaptive estimation for time series analysis.

Control and Dynamic Systems V31: Advances in Aerospace Systems Dynamics and Control Systems Part 1 of 3

Author : C.T. Leonides
Publisher : Elsevier
ISBN 13 : 0323162398
Total Pages : 279 pages
Book Rating : 4.3/5 (231 download)

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Book Synopsis Control and Dynamic Systems V31: Advances in Aerospace Systems Dynamics and Control Systems Part 1 of 3 by : C.T. Leonides

Download or read book Control and Dynamic Systems V31: Advances in Aerospace Systems Dynamics and Control Systems Part 1 of 3 written by C.T. Leonides and published by Elsevier. This book was released on 2012-12-02 with total page 279 pages. Available in PDF, EPUB and Kindle. Book excerpt: Control and Dynamic Systems: Advances in Theory in Applications, Volume 31: Advances in Aerospace Systems Dynamics and Control Systems, Part 1 of 3 deals with significant advances in technologies which support the development of aerospace systems. It also presents several algorithms and computational techniques used in complex aerospace systems. The techniques discussed in this volume include: moving-bank multiple model adaptive estimation, algorithms for multitarget sensor tracking systems; algorithms in differential dynamic programming; optimal control of linear stochastic systems; and normalized predictive deconvulation. This book is an important reference for practitioners in the field who want a comprehensive source of techniques with significant applied implications.

Scientific and Technical Aerospace Reports

Author :
Publisher :
ISBN 13 :
Total Pages : 1002 pages
Book Rating : 4.F/5 ( download)

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Book Synopsis Scientific and Technical Aerospace Reports by :

Download or read book Scientific and Technical Aerospace Reports written by and published by . This book was released on 1990 with total page 1002 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Stochastic Models: Estimation and Control: v. 2

Author : Maybeck
Publisher : Academic Press
ISBN 13 : 0080956513
Total Pages : 307 pages
Book Rating : 4.0/5 (89 download)

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Book Synopsis Stochastic Models: Estimation and Control: v. 2 by : Maybeck

Download or read book Stochastic Models: Estimation and Control: v. 2 written by Maybeck and published by Academic Press. This book was released on 1982-08-10 with total page 307 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic Models: Estimation and Control: v. 2

Statistical Modeling and Analysis for Complex Data Problems

Author : Pierre Duchesne
Publisher : Springer Science & Business Media
ISBN 13 : 9780387245546
Total Pages : 354 pages
Book Rating : 4.2/5 (455 download)

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Book Synopsis Statistical Modeling and Analysis for Complex Data Problems by : Pierre Duchesne

Download or read book Statistical Modeling and Analysis for Complex Data Problems written by Pierre Duchesne and published by Springer Science & Business Media. This book was released on 2005-04-12 with total page 354 pages. Available in PDF, EPUB and Kindle. Book excerpt: STATISTICAL MODELING AND ANALYSIS FOR COMPLEX DATA PROBLEMS treats some of today’s more complex problems and it reflects some of the important research directions in the field. Twenty-nine authors—largely from Montreal’s GERAD Multi-University Research Center and who work in areas of theoretical statistics, applied statistics, probability theory, and stochastic processes—present survey chapters on various theoretical and applied problems of importance and interest to researchers and students across a number of academic domains. Some of the areas and topics examined in the volume are: an analysis of complex survey data, the 2000 American presidential election in Florida, data mining, estimation of uncertainty for machine learning algorithms, interacting stochastic processes, dependent data & copulas, Bayesian analysis of hazard rates, re-sampling methods in a periodic replacement problem, statistical testing in genetics and for dependent data, statistical analysis of time series analysis, theoretical and applied stochastic processes, and an efficient non linear filtering algorithm for the position detection of multiple targets. The book examines the methods and problems from a modeling perspective and surveys the state of current research on each topic and provides direction for further research exploration of the area.

Econometric Theory and Practice

Author : P. C. B. Phillips
Publisher : Cambridge University Press
ISBN 13 : 9780521807234
Total Pages : 390 pages
Book Rating : 4.8/5 (72 download)

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Book Synopsis Econometric Theory and Practice by : P. C. B. Phillips

Download or read book Econometric Theory and Practice written by P. C. B. Phillips and published by Cambridge University Press. This book was released on 2006-01-09 with total page 390 pages. Available in PDF, EPUB and Kindle. Book excerpt: The essays in this book explore important theoretical and applied advances in econometrics.

Kalman Filtering

Author : Mohinder S. Grewal
Publisher : John Wiley & Sons
ISBN 13 : 111898496X
Total Pages : 639 pages
Book Rating : 4.1/5 (189 download)

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Book Synopsis Kalman Filtering by : Mohinder S. Grewal

Download or read book Kalman Filtering written by Mohinder S. Grewal and published by John Wiley & Sons. This book was released on 2015-02-02 with total page 639 pages. Available in PDF, EPUB and Kindle. Book excerpt: The definitive textbook and professional reference on Kalman Filtering – fully updated, revised, and expanded This book contains the latest developments in the implementation and application of Kalman filtering. Authors Grewal and Andrews draw upon their decades of experience to offer an in-depth examination of the subtleties, common pitfalls, and limitations of estimation theory as it applies to real-world situations. They present many illustrative examples including adaptations for nonlinear filtering, global navigation satellite systems, the error modeling of gyros and accelerometers, inertial navigation systems, and freeway traffic control. Kalman Filtering: Theory and Practice Using MATLAB, Fourth Edition is an ideal textbook in advanced undergraduate and beginning graduate courses in stochastic processes and Kalman filtering. It is also appropriate for self-instruction or review by practicing engineers and scientists who want to learn more about this important topic.

Scientific and Technical Aerospace Reports

Author :
Publisher :
ISBN 13 :
Total Pages : 610 pages
Book Rating : 4.E/5 ( download)

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Book Synopsis Scientific and Technical Aerospace Reports by :

Download or read book Scientific and Technical Aerospace Reports written by and published by . This book was released on 1995 with total page 610 pages. Available in PDF, EPUB and Kindle. Book excerpt: Lists citations with abstracts for aerospace related reports obtained from world wide sources and announces documents that have recently been entered into the NASA Scientific and Technical Information Database.

Stochastic Models, Estimation, and Control

Author : Peter S. Maybeck
Publisher : Academic Press
ISBN 13 : 0080960030
Total Pages : 311 pages
Book Rating : 4.0/5 (89 download)

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Book Synopsis Stochastic Models, Estimation, and Control by : Peter S. Maybeck

Download or read book Stochastic Models, Estimation, and Control written by Peter S. Maybeck and published by Academic Press. This book was released on 1982-08-25 with total page 311 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume builds upon the foundations set in Volumes 1 and 2. Chapter 13 introduces the basic concepts of stochastic control and dynamic programming as the fundamental means of synthesizing optimal stochastic control laws.

Sensor Fusion and its Applications

Author : Ciza Thomas
Publisher : BoD – Books on Demand
ISBN 13 : 953307101X
Total Pages : 498 pages
Book Rating : 4.5/5 (33 download)

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Book Synopsis Sensor Fusion and its Applications by : Ciza Thomas

Download or read book Sensor Fusion and its Applications written by Ciza Thomas and published by BoD – Books on Demand. This book was released on 2010-08-16 with total page 498 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book aims to explore the latest practices and research works in the area of sensor fusion. The book intends to provide a collection of novel ideas, theories, and solutions related to the research areas in the field of sensor fusion. This book is a unique, comprehensive, and up-to-date resource for sensor fusion systems designers. This book is appropriate for use as an upper division undergraduate or graduate level text book. It should also be of interest to researchers, who need to process and interpret the sensor data in most scientific and engineering fields. The initial chapters in this book provide a general overview of sensor fusion. The later chapters focus mostly on the applications of sensor fusion. Much of this work has been published in refereed journals and conference proceedings and these papers have been modified and edited for content and style. With contributions from the world's leading fusion researchers and academicians, this book has 22 chapters covering the fundamental theory and cutting-edge developments that are driving this field.

GARCH Models

Author : Christian Francq
Publisher : John Wiley & Sons
ISBN 13 : 1119957397
Total Pages : 469 pages
Book Rating : 4.1/5 (199 download)

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Book Synopsis GARCH Models by : Christian Francq

Download or read book GARCH Models written by Christian Francq and published by John Wiley & Sons. This book was released on 2011-06-24 with total page 469 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive and systematic approach to understanding GARCH time series models and their applications whilst presenting the most advanced results concerning the theory and practical aspects of GARCH. The probability structure of standard GARCH models is studied in detail as well as statistical inference such as identification, estimation and tests. The book also provides coverage of several extensions such as asymmetric and multivariate models and looks at financial applications. Key features: Provides up-to-date coverage of the current research in the probability, statistics and econometric theory of GARCH models. Numerous illustrations and applications to real financial series are provided. Supporting website featuring R codes, Fortran programs and data sets. Presents a large collection of problems and exercises. This authoritative, state-of-the-art reference is ideal for graduate students, researchers and practitioners in business and finance seeking to broaden their skills of understanding of econometric time series models.

Statistics in Volcanology

Author : Heidy M. Mader
Publisher : Geological Society of London
ISBN 13 : 9781862392083
Total Pages : 304 pages
Book Rating : 4.3/5 (92 download)

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Book Synopsis Statistics in Volcanology by : Heidy M. Mader

Download or read book Statistics in Volcanology written by Heidy M. Mader and published by Geological Society of London. This book was released on 2006 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt: Statistics in Volcanology is a comprehensive guide to modern statistical methods applied in volcanology written by today's leading authorities. The volume aims to show how the statistical analysis of complex volcanological data sets, including time series, and numerical models of volcanic processes can improve our ability to forecast volcanic eruptions. Specific topics include the use of expert elicitation and Bayesian methods in eruption forecasting, statistical models of temporal and spatial patterns of volcanic activity, analysis of time series in volcano seismology, probabilistic hazard assessment, and assessment of numerical models using robust statistical methods. Also provided are comprehensive overviews of volcanic phenomena, and a full glossary of both volcanological and statistical terms. Statistics in Volcanology is essential reading for advanced undergraduates, graduate students, and research scientists interested in this multidisciplinary field.

Random Iterative Models

Author : Marie Duflo
Publisher : Springer Science & Business Media
ISBN 13 : 3662128802
Total Pages : 394 pages
Book Rating : 4.6/5 (621 download)

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Book Synopsis Random Iterative Models by : Marie Duflo

Download or read book Random Iterative Models written by Marie Duflo and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: An up-to-date, self-contained review of a wide range of recursive methods for stabilization, identification and control of complex stochastic models (guiding a rocket or a plane, organizing multi-access broadcast channels, self-learning of neural networks ...). Suitable for mathematicians (researchers and also students) and engineers.

Linear Models and Time-Series Analysis

Author : Marc S. Paolella
Publisher : John Wiley & Sons
ISBN 13 : 1119431980
Total Pages : 896 pages
Book Rating : 4.1/5 (194 download)

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Book Synopsis Linear Models and Time-Series Analysis by : Marc S. Paolella

Download or read book Linear Models and Time-Series Analysis written by Marc S. Paolella and published by John Wiley & Sons. This book was released on 2018-10-10 with total page 896 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive and timely edition on an emerging new trend in time series Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH sets a strong foundation, in terms of distribution theory, for the linear model (regression and ANOVA), univariate time series analysis (ARMAX and GARCH), and some multivariate models associated primarily with modeling financial asset returns (copula-based structures and the discrete mixed normal and Laplace). It builds on the author's previous book, Fundamental Statistical Inference: A Computational Approach, which introduced the major concepts of statistical inference. Attention is explicitly paid to application and numeric computation, with examples of Matlab code throughout. The code offers a framework for discussion and illustration of numerics, and shows the mapping from theory to computation. The topic of time series analysis is on firm footing, with numerous textbooks and research journals dedicated to it. With respect to the subject/technology, many chapters in Linear Models and Time-Series Analysis cover firmly entrenched topics (regression and ARMA). Several others are dedicated to very modern methods, as used in empirical finance, asset pricing, risk management, and portfolio optimization, in order to address the severe change in performance of many pension funds, and changes in how fund managers work. Covers traditional time series analysis with new guidelines Provides access to cutting edge topics that are at the forefront of financial econometrics and industry Includes latest developments and topics such as financial returns data, notably also in a multivariate context Written by a leading expert in time series analysis Extensively classroom tested Includes a tutorial on SAS Supplemented with a companion website containing numerous Matlab programs Solutions to most exercises are provided in the book Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH is suitable for advanced masters students in statistics and quantitative finance, as well as doctoral students in economics and finance. It is also useful for quantitative financial practitioners in large financial institutions and smaller finance outlets.

Data Science

Author : Qinglei Zhou
Publisher : Springer
ISBN 13 : 9811322066
Total Pages : 676 pages
Book Rating : 4.8/5 (113 download)

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Book Synopsis Data Science by : Qinglei Zhou

Download or read book Data Science written by Qinglei Zhou and published by Springer. This book was released on 2018-09-10 with total page 676 pages. Available in PDF, EPUB and Kindle. Book excerpt: This two volume set (CCIS 901 and 902) constitutes the refereed proceedings of the 4th International Conference of Pioneering Computer Scientists, Engineers and Educators, ICPCSEE 2018 (originally ICYCSEE) held in Zhengzhou, China, in September 2018. The 125 revised full papers presented in these two volumes were carefully reviewed and selected from 1057 submissions. The papers cover a wide range of topics related to basic theory and techniques for data science including mathematical issues in data science, computational theory for data science, big data management and applications, data quality and data preparation, evaluation and measurement in data science, data visualization, big data mining and knowledge management, infrastructure for data science, machine learning for data science, data security and privacy, applications of data science, case study of data science, multimedia data management and analysis, data-driven scientific research, data-driven bioinformatics, data-driven healthcare, data-driven management, data-driven eGovernment, data-driven smart city/planet, data marketing and economics, social media and recommendation systems, data-driven security, data-driven business model innovation, social and/or organizational impacts of data science.

Modern Discrete Mathematics and Analysis

Author : Nicholas J. Daras
Publisher : Springer
ISBN 13 : 3319743252
Total Pages : 516 pages
Book Rating : 4.3/5 (197 download)

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Book Synopsis Modern Discrete Mathematics and Analysis by : Nicholas J. Daras

Download or read book Modern Discrete Mathematics and Analysis written by Nicholas J. Daras and published by Springer. This book was released on 2018-07-05 with total page 516 pages. Available in PDF, EPUB and Kindle. Book excerpt: A variety of modern research in analysis and discrete mathematics is provided in this book along with applications in cryptographic methods and information security, in order to explore new techniques, methods, and problems for further investigation. Distinguished researchers and scientists in analysis and discrete mathematics present their research. Graduate students, scientists and engineers, interested in a broad spectrum of current theories, methods, and applications in interdisciplinary fields will find this book invaluable.

Adaptive Systems in Control and Signal Processing 1989

Author : T.S. Durrani
Publisher : Elsevier
ISBN 13 : 1483294242
Total Pages : 629 pages
Book Rating : 4.4/5 (832 download)

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Book Synopsis Adaptive Systems in Control and Signal Processing 1989 by : T.S. Durrani

Download or read book Adaptive Systems in Control and Signal Processing 1989 written by T.S. Durrani and published by Elsevier. This book was released on 2014-06-28 with total page 629 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Symposium covered three major areas: adaptive control, identification and signal processing. In all three, new developments were discussed covering both theoretical and applications research. Within the subject area of adaptive control the discussion centred around the challenges of robust control design to unmodelled dynamics, robust parameter estimation and enhanced performance from the estimator, while the papers on identification took the theme of it being a bridge between adaptive control and signal processing. The final area looked at two aspects of signal processing: recursive estimation and adaptive filters.