Filtering None-Linear State Space Models. Methods and Economic Applications PDF Download

Author: Kai Ming Lee
Publisher: Rozenberg Publishers
ISBN: 9036101697
Category :
Languages : en
Pages : 150

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Author: Yong Zeng
Publisher: Springer Science & Business Media
ISBN: 1461477891
Category : Business & Economics
Languages : en
Pages : 358

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State-space models as an important mathematical tool has been widely used in many different fields. This edited collection explores recent theoretical developments of the models and their applications in economics and finance. The book includes nonlinear and non-Gaussian time series models, regime-switching and hidden Markov models, continuous- or discrete-time state processes, and models of equally-spaced or irregularly-spaced (discrete or continuous) observations. The contributed chapters are divided into four parts. The first part is on Particle Filtering and Parameter Learning in Nonlinear State-Space Models. The second part focuses on the application of Linear State-Space Models in Macroeconomics and Finance. The third part deals with Hidden Markov Models, Regime Switching and Mathematical Finance and the fourth part is on Nonlinear State-Space Models for High Frequency Financial Data. The book will appeal to graduate students and researchers studying state-space modeling in economics, statistics, and mathematics, as well as to finance professionals.

Author: Jing Lei
Publisher:
ISBN:
Category :
Languages : en
Pages : 270

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State space models are powerful modeling tools for stochastic dynamical systems and have been an important research area in the statistics community in the last several decades. This thesis makes contributions to the filtering problem, a key inference problem in general state space models. Our work in this area is motivated by both high-dimensional, nonlinear applications such as numerical weather forecasting and fundamental theoretical problems such as the convergence of filters. First we study the ensemble Kalman filters (EnKF), a popular class of filtering methods in geophysics because they are easy to implement in large systems. However, their behavior in non-Gaussian situations is only partially understood. We compare two common versions of EnKF's under non-Gaussianity from a robustness perspective. The results support previous empirical studies on the same issue and provide additional insight in choosing a free parameter in the EnKF algorithms. Second, we consider the filtering problem in high dimensional situations such as numerical weather forecasting. We review the EnKF from a statistical perspective and analyze its sources of bias. Then we propose a new method to reduces the bias, namely the non-linear ensemble adjustment filter (NLEAF). The one-step consistency of the NLEAF is studied and the performance is examined through simulations in two common testbeds in the weather forecasting literature. Finally we look at the theoretical properties of another popular class of filtering methods, the sequential Monte Carlo (SMC) filter. The convergence of SMC filters has been a challenging problem in both probability and statistics. The previous results either depend on strong mixing conditions which only hold in compact spaces or provide no rates of convergence or are under weak notions of distance, limiting the application of their practical use. We provide checkable sufficient conditions under which explicit rates of convergence of the SMC filter can be derived. The conditions essentially requires the regularity of the tail behavior of the process and they are general enough to include a wide class of autoregressive models as well as Gaussian linear models.

Author: S. Mittnik
Publisher: Elsevier
ISBN: 1483296237
Category : Mathematics
Languages : en
Pages : 219

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System-Theoretic Methods in Economic Modelling II complements the editor's earlier volume, bringing together current research efforts integrating system-theoretic concepts with economic modelling processes. The range of papers presented here goes beyond the long-accepted control-theoretic contributions in dynamic optimization and focuses on system-theoretic methods in the construction as well as the application stages of economic modelling. This volume initiates new and intensifies existing debate between researchers and practitioners within and across the disciplines involved, with the objective of encouraging interdisciplinary research. The papers are split into four sections - estimation, filtering and smoothing problems in the context of state space modelling; applying the state space concept to financial modelling; modelling rational expectation; and a miscellaneous section including a follow-up case study by Tse and Khilnani on their integrated system model for a fishery management process, which featured in the first volume.

Author: Hisashi Tanizaki
Publisher: Springer Science & Business Media
ISBN: 3662032236
Category : Business & Economics
Languages : en
Pages : 264

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Nonlinear and nonnormal filters are introduced and developed. Traditional nonlinear filters such as the extended Kalman filter and the Gaussian sum filter give biased filtering estimates, and therefore several nonlinear and nonnormal filters have been derived from the underlying probability density functions. The density-based nonlinear filters introduced in this book utilize numerical integration, Monte-Carlo integration with importance sampling or rejection sampling and the obtained filtering estimates are asymptotically unbiased and efficient. By Monte-Carlo simulation studies, all the nonlinear filters are compared. Finally, as an empirical application, consumption functions based on the rational expectation model are estimated for the nonlinear filters, where US, UK and Japan economies are compared.

Author: Christian L. Dunis
Publisher: John Wiley & Sons
ISBN: 0470871342
Category : Business & Economics
Languages : en
Pages : 426

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This book provides a manual on quantitative financial analysis. Focusing on advanced methods for modelling financial markets in the context of practical financial applications, it will cover data, software and techniques that will enable the reader to implement and interpret quantitative methodologies, specifically for trading and investment. Includes contributions from an international team of academics and quantitative asset managers from Morgan Stanley, Barclays Global Investors, ABN AMRO and Credit Suisse First Boston. Fills the gap for a book on applied quantitative investment & trading models Provides details of how to combine various models to manage and trade a portfolio

Author: Andrew C. Harvey
Publisher: Oxford University Press, USA
ISBN: 0199278695
Category : Business & Economics
Languages : en
Pages : 475

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This volume presents a collection of readings which give the reader an idea of the nature and scope of unobserved components (UC) models and the methods used to deal with them. The book is intended to give a self-contained presentation of the methods and applicative issues. Harvey has made major contributions to this field and provides substantial introductions throughout the book to form a unified view of the literature. About the Series Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.

Author: Arnaud Doucet
Publisher: Springer Science & Business Media
ISBN: 1475734379
Category : Mathematics
Languages : en
Pages : 590

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Book Description
Monte Carlo methods are revolutionizing the on-line analysis of data in many fileds. They have made it possible to solve numerically many complex, non-standard problems that were previously intractable. This book presents the first comprehensive treatment of these techniques.

Author: Kostas Triantafyllopoulos
Publisher: Springer Nature
ISBN: 303076124X
Category : Mathematics
Languages : en
Pages : 503

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Bayesian Inference of State Space Models: Kalman Filtering and Beyond offers a comprehensive introduction to Bayesian estimation and forecasting for state space models. The celebrated Kalman filter, with its numerous extensions, takes centre stage in the book. Univariate and multivariate models, linear Gaussian, non-linear and non-Gaussian models are discussed with applications to signal processing, environmetrics, economics and systems engineering. Over the past years there has been a growing literature on Bayesian inference of state space models, focusing on multivariate models as well as on non-linear and non-Gaussian models. The availability of time series data in many fields of science and industry on the one hand, and the development of low-cost computational capabilities on the other, have resulted in a wealth of statistical methods aimed at parameter estimation and forecasting. This book brings together many of these methods, presenting an accessible and comprehensive introduction to state space models. A number of data sets from different disciplines are used to illustrate the methods and show how they are applied in practice. The R package BTSA, created for the book, includes many of the algorithms and examples presented. The book is essentially self-contained and includes a chapter summarising the prerequisites in undergraduate linear algebra, probability and statistics. An up-to-date and complete account of state space methods, illustrated by real-life data sets and R code, this textbook will appeal to a wide range of students and scientists, notably in the disciplines of statistics, systems engineering, signal processing, data science, finance and econometrics. With numerous exercises in each chapter, and prerequisite knowledge conveniently recalled, it is suitable for upper undergraduate and graduate courses.

Author: Eva Gutiérrez Puigarnau
Publisher: Rozenberg Publishers
ISBN: 9036102154
Category :
Languages : en
Pages : 140

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