Doctoral Thesis
DOI
https://doi.org/10.11606/T.45.1999.tde-20210729-023851
Document
Author
Full name
Eliana Zandonade
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 1999
Supervisor
Title in Portuguese
Utilização de ondaletas em modelos de espaço de estados
Keywords in Portuguese
Análise De Séries Temporais
Abstract in Portuguese
Neste trabalho utilizamos ondaletas em modelos de espaço de estados via parâmetros associados à matriz de transição e matriz do sistema e em séries temporais com mudanças de regime. Apresentamos a formulação do modelo com ondaletas e utilizamos o algoritmo EM e o filtro de Kalman para a estimação dos parâmetros e do vetor de estado, respectivamente
Title in English
not available
Abstract in English
In this work we use wavelets in state space models to represent the parameters corresponding to the transition and system matrices, and in time series with changes in regime. We present the formulation of the models with wavelets and propose to estimate the models parameters and the state vector using the EM algorithm and the kalman filter, respectively
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Publishing Date
2021-07-29