Uncertainty Management for Estimation in Dynamical Systems

— A novel black-box model for time series of prices analysis is proposed. It is constructed using the technique of “shaping filter”. The model identification is then proposed; it is based upon some stochastic calculus and a couple of results from Lévy processes theory. Neither the modeling nor the estimation parts are specific to the application, several engineering fields are concerned with this work.

• Type: Conference
• Year: 2006
• Where: APCCAS
• Authors: H. Baili
• Keywords: APCCAS 2006, Hardware, Lévy Processes Theory, Stochastic Calculus, Time Series