scholarly journals On the Stratonovich-Kalman-Bucy Filtering Algorithm Application for Accurate Characterization of Financial Time Series with Use of State-Space Model by Central Banks

2013 ◽  
Author(s):  
Dimitri O. Ledenyov ◽  
Viktor O. Ledenyov
Keyword(s):  
Time Series ◽  
State Space ◽  
Financial Time Series ◽  
State Space Model ◽  
Central Banks ◽  
Filtering Algorithm ◽  
Space Model ◽  
Financial Time

scholarly journals Financial time series volatility analysis using Gaussian process state-space models

2021 ◽  
Author(s):  
Jianan Han
Keyword(s):  
Time Series ◽  
Gaussian Process ◽  
State Space ◽  
Financial Time Series ◽  
State Space Model ◽  
Likelihood Methods ◽  
Nonparametric Modeling ◽  
Space Model ◽  
Financial Time ◽  
Maximum Likelihood Methods

In this thesis, we propose a novel nonparametric modeling framework for financial time series data analysis, and we apply the framework to the problem of time varying volatility modeling. Existing parametric models have a rigid transition function form and they often have over-fitting problems when model parameters are estimated using maximum likelihood methods. These drawbacks effect the models' forecast performance. To solve this problem, we take Bayesian nonparametric modeling approach. By adding Gaussian process prior to the hidden state transition process, we extend the standard state-space model to a Gaussian process state-space model. We introduce our Gaussian process regression stochastic volatility (GPRSV) model. Instead of using maximum likelihood methods, we use Monte Carlo inference algorithms. Both online particle filter and offline particle Markov chain Monte Carlo methods are studied to learn the proposed model. We demonstrate our model and inference methods with both simulated and empirical financial data.

scholarly journals Financial time series volatility analysis using Gaussian process state-space models

2021 ◽  
Author(s):  
Jianan Han
Keyword(s):  
Time Series ◽  
Gaussian Process ◽  
State Space ◽  
Financial Time Series ◽  
State Space Model ◽  
Likelihood Methods ◽  
Nonparametric Modeling ◽  
Space Model ◽  
Financial Time ◽  
Maximum Likelihood Methods

In this thesis, we propose a novel nonparametric modeling framework for financial time series data analysis, and we apply the framework to the problem of time varying volatility modeling. Existing parametric models have a rigid transition function form and they often have over-fitting problems when model parameters are estimated using maximum likelihood methods. These drawbacks effect the models' forecast performance. To solve this problem, we take Bayesian nonparametric modeling approach. By adding Gaussian process prior to the hidden state transition process, we extend the standard state-space model to a Gaussian process state-space model. We introduce our Gaussian process regression stochastic volatility (GPRSV) model. Instead of using maximum likelihood methods, we use Monte Carlo inference algorithms. Both online particle filter and offline particle Markov chain Monte Carlo methods are studied to learn the proposed model. We demonstrate our model and inference methods with both simulated and empirical financial data.

Estimating long-term tree mortality rate time series by combining data from periodic inventories and harvest reports in a Bayesian state-space model

2013 ◽  
Vol 292 ◽  
pp. 64-74 ◽  
Author(s):  
Katalin Csilléry ◽  
Maëlle Seignobosc ◽  
Valentine Lafond ◽  
Georges Kunstler ◽  
Benoît Courbaud
Keyword(s):  
Time Series ◽  
Mortality Rate ◽  
State Space ◽  
Tree Mortality ◽  
State Space Model ◽  
Space Model ◽  
Combining Data

scholarly journals LSTM-Guided Coaching Assistant for Table Tennis Practice

Sensors ◽  
2018 ◽  
Vol 18 (12) ◽  
pp. 4112 ◽  
Author(s):  
Se-Min Lim ◽  
Hyeong-Cheol Oh ◽  
Jaein Kim ◽  
Juwon Lee ◽  
Jooyoung Park
Keyword(s):  
Time Series ◽  
State Space ◽  
Time Series Data ◽  
State Space Model ◽  
Skill Assessment ◽  
Series Data ◽  
High Dimensional ◽  
Table Tennis ◽  
Space Model ◽  
Low Dimensional

Recently, wearable devices have become a prominent health care application domain by incorporating a growing number of sensors and adopting smart machine learning technologies. One closely related topic is the strategy of combining the wearable device technology with skill assessment, which can be used in wearable device apps for coaching and/or personal training. Particularly pertinent to skill assessment based on high-dimensional time series data from wearable sensors is classifying whether a player is an expert or a beginner, which skills the player is exercising, and extracting some low-dimensional representations useful for coaching. In this paper, we present a deep learning-based coaching assistant method, which can provide useful information in supporting table tennis practice. Our method uses a combination of LSTM (Long short-term memory) with a deep state space model and probabilistic inference. More precisely, we use the expressive power of LSTM when handling high-dimensional time series data, and state space model and probabilistic inference to extract low-dimensional latent representations useful for coaching. Experimental results show that our method can yield promising results for characterizing high-dimensional time series patterns and for providing useful information when working with wearable IMU (Inertial measurement unit) sensors for table tennis coaching.

scholarly journals Average crossing time: An alternative characterization of mean aversion and reversion

2021 ◽  
Vol 12 (3) ◽  
pp. 903-944 ◽  
Author(s):  
John B. Donaldson ◽  
Rajnish Mehra
Keyword(s):  
Time Series ◽  
Financial Time Series ◽  
Mean Reversion ◽  
Statistical Characteristics ◽  
Alternative Measure ◽  
Financial Time ◽  
Asset Pricing Models ◽  
Crossing Time ◽  
Alternative Characterization

This study compares and contrasts the multiple characterizations of mean reversion in financial time series as regards the restrictions they imply. This is accomplished by translating them into statements about an alternative measure, the “Average Crossing Time” or ACT. We argue that the ACT measure, per se, provides not only a useful benchmark for the degree of mean reversion/aversion, but also an intuitive, and easily quantified sense of one time series being “more strongly mean‐reverting/averting” than another. We conclude our discussion by deriving the ACT measure for a wide class of stochastic processes and detailing its statistical characteristics. Our analysis is principally undertaken within a class of well‐understood production based asset pricing models.

scholarly journals State Space Modeling with Non-Negativity Constraints Using Quadratic Forms

Mathematics ◽  
2021 ◽  
Vol 9 (16) ◽  
pp. 1908
Author(s):  
Ourania Theodosiadou ◽  
George Tsaklidis
Keyword(s):  
State Space ◽  
Quadratic Forms ◽  
Hidden Variables ◽  
State Space Model ◽  
Estimation Procedure ◽  
Positive Component ◽  
Filtering Algorithm ◽  
Space Model ◽  
Space Modeling ◽  
The Difference

State space model representation is widely used for the estimation of nonobservable (hidden) random variables when noisy observations of the associated stochastic process are available. In case the state vector is subject to constraints, the standard Kalman filtering algorithm can no longer be used in the estimation procedure, since it assumes the linearity of the model. This kind of issue is considered in what follows for the case of hidden variables that have to be non-negative. This restriction, which is common in many real applications, can be faced by describing the dynamic system of the hidden variables through non-negative definite quadratic forms. Such a model could describe any process where a positive component represents “gain”, while the negative one represents “loss”; the observation is derived from the difference between the two components, which stands for the “surplus”. Here, a thorough analysis of the conditions that have to be satisfied regarding the existence of non-negative estimations of the hidden variables is presented via the use of the Karush–Kuhn–Tucker conditions.

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