Derivation of a State-Space Model by Functional Data Analysis

SummaryBy approximating a stochastic process by means of spline interpolation of its sample-paths, a time dependent state-space model is introduced. Then we derive the expression of the associated transition matrix that allows to obtain a discrete model useful in applications. In order to essay the...

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Veröffentlicht in:	Computational statistics 2003-09, Vol.18 (3-4), p.533-546
Hauptverfasser:	Valderrama, Mariano J., Ortega-Moreno, Mónica, González, Pedro, Aguilera, Ana M.
Format:	Artikel
Sprache:	eng
Schlagworte:	Approximation Computer simulation Data analysis Data processing Derivation Interpolation Markets Raw materials Splines State space models Statistics Stochastic processes Time dependence
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