State Space Models: a Brief History and Some Recent De- Velopments
نویسنده
چکیده
State space models, also termed dynamic models, relate observations yt; t = 1; 2; :::, on a response variable Y to unobserved "states" or "parameters" t, t=1,2,..., by an observation model for yt given t. The states are assumed to follow a Markovian transition model. Gaussian linear state space models are de ned by a linear observation model and a linear Markovian transition equation yt = z 0 t t + t; t = 1; 2; ::: (1)
منابع مشابه
Numerical Solution of Space-time Fractional two-dimensional Telegraph Equation by Shifted Legendre Operational Matrices
Fractional differential equations (FDEs) have attracted in the recent years a considerable interest due to their frequent appearance in various fields and their more accurate models of systems under consideration provided by fractional derivatives. For example, fractional derivatives have been used successfully to model frequency dependent damping behavior of many viscoelastic materials. They a...
متن کاملModeling Stock Return Volatility Using Symmetric and Asymmetric Nonlinear State Space Models: Case of Tehran Stock Market
Volatility is a measure of uncertainty that plays a central role in financial theory, risk management, and pricing authority. Turbulence is the conditional variance of changes in asset prices that is not directly observable and is considered a hidden variable that is indirectly calculated using some approximations. To do this, two general approaches are presented in the literature of financial ...
متن کاملAre Autonomous Mobile Robots Able to Take Over Construction? A Review
Although construction has been known as a highly complex application field for autonomous robotic systems, recent advances in this field offer great hope for using robotic capabilities to develop automated construction. Today, space research agencies seek to build infrastructures without human intervention, and construction companies look to robots with the potential to improve construction qua...
متن کاملReachability checking in complex and concurrent software systems using intelligent search methods
Software system verification is an efficient technique for ensuring the correctness of a software product, especially in safety-critical systems in which a small bug may have disastrous consequences. The goal of software verification is to ensure that the product fulfills the requirements. Studies show that the cost of finding and fixing errors in design time is less than finding and fixing the...
متن کاملتحلیل اثرات عوامل نهادی بر رشد بهره وری کل عوامل در اقتصاد ایران با استفاده از مدل فضا حالت
The number of factors affecting total factor productivity has been increasing far from those which considered in growth models. So, institutional factors have been attracting strong attention of researchers. This paper aims at investigating the effects of these institutional factors together with traditional factors on TFP growth during 1971-2007. For this purpose, we present a State-Spac...
متن کامل