Title :
Uncertainty Management for Estimation in Dynamical Systems
Author_Institution :
Dept. of Signal Process. & Electron. Syst., Ecole Superieure d´´Electricite, Gif sur Yvette
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;
Conference_Titel :
Circuits and Systems, 2006. APCCAS 2006. IEEE Asia Pacific Conference on
Conference_Location :
Singapore
Print_ISBN :
1-4244-0387-1
DOI :
10.1109/APCCAS.2006.342278
