Current Development in Theory and Applications of Wavelets
Volume 3, Issue 1, Pages 1 - 30
(April 2009)
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WAVELET ESTIMATION OF STATE SPACE MODELS
Airlane P. Alencar (Brazil), Pedro A. Morettin (Brazil), Clélia M. C. Toloi (Brazil) and Eliana Zandonade (Brazil)
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Abstract:
In this paper, we review recent work on state space switching models and add some new material on the estimation of parameters of a state space model through the use of the Kalman filter, the expectation-maximization (EM) algorithm and wavelets. We discuss specially switching models where the changes of regimes may be independent or following a Markov chain. We provide a simulation and an application to real data. |
| Keywords and phrases: EM algorithm, Kalman filter, Markov chain, state space models, switching models, wavelets. |
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