Uncertainty Management for Estimation in Dynamical Systems

Hana Baili (1)

1 SUPELEC-Campus Gif

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.

Domaines: Probabilités [math.PR]; Systèmes dynamiques [math.DS]

Hana Baili. Uncertainty Management for Estimation in Dynamical Systems. Asia Pacific Conference on Circuits and Systems, Dec 2006, Singapore, Singapore. pp. 1992-1995, ⟨10.1109/APCCAS.342278⟩. ⟨hal-00255900⟩