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VOL. 52 | 2006 Combining domain knowledge and statistical models in time series analysis
Tze Leung Lai, Samuel Po-Shing Wong

Editor(s) Hwai-Chung Ho, Ching-Kang Ing, Tze Leung Lai

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.

Information

Published: 1 January 2006
First available in Project Euclid: 28 November 2007

zbMATH: 1268.62115

Digital Object Identifier: 10.1214/074921706000001049

Subjects:
Primary: 62M10, 62M20
Secondary: 62P05, 62P10

Rights: Copyright © 2006, Institute of Mathematical Statistics

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