Clustering Input Signals Based Identification Algorithms for Two-Input Single-Output Models with Autoregressive Moving Average Noises

Kalman filtering & colored noises: the (autoregressive) moving-average case

The Kalman filter is a well-known and efficient recursive algorithm that estimates the state of a dynamic system from a series of indirect and noisy observations of this state. Its applications range from signal processing to machine learning, through speech processing or computer vision. The underlying model usually assumes white noises. Extensions to colored autoregressive (AR) noise model ar...

Estimating threshold subset autoregressive moving - average models by genetic algorithms

A genetic algorithm is proposed to estimate the parameters of a selfexciting threshold subset autoregressive moving-average model. The threshold model is composed of several linear autoregressive moving-average models. Each one of these models applies according to a “switch mechanism” that is based on the comparison between the delayed observation and some “threshold” values. Our procedure inco...

Maximum Likelihood Identification of Gaussian Autoregressive Moving Average Models

Rank-Based Estimation for Autoregressive Moving Average Time Series Models

We establish asymptotic normality and consistency for rank-based estimators of autoregressive-moving average model parameters. The estimators are obtained by minimizing a rank-based residual dispersion function similar to the one given in L.A. Jaeckel [Estimating regression coefficients by minimizing the dispersion of the residuals, Ann. Math. Statist. 43 (1972) 1449–1458]. These estimators can...

Disaggregating Input - Output Models

This Technical Document describes the steps to disaggregate an industry sector in an I-O table using Python. A disaggregation method that based on weight factors is used in this document. The calculation has three parts. The rst part is to calculate the disaggregated input matrix DIM, which represents all the input from common sectors into the new sectors. The second part is to calculate the di...