Institute of Mathematical Statistics Lecture Notes - Monograph Series

Combining domain knowledge and statistical models in time series analysis

Tze Leung Lai, Samuel Po-Shing Wong

Abstract

This paper describes a new approach to time series modeling that combines subject-matter knowledge of the system dynamics with statistical techniques in time series analysis and regression. Applications to American option pricing and the Canadian lynx data are given to illustrate this approach.

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Primary Subjects: 62M10, 62M20
Secondary Subjects: 62P05, 62P10
Keywords: time series analysis; domain knowledge; empirical models; mechanistic models; combined substantive-empirical approach; basis function
Full-text: Open access
Links and Identifiers

Permanent link to this document: http://projecteuclid.org/euclid.lnms/1196285975
Digital Object Identifier: doi:10.1214/074921706000001049

2012 © Institute of Mathematical Statistics

Institute of Mathematical Statistics Lecture Notes - Monograph Series

Institute of Mathematical Statistics Lecture Notes - Monograph Series