Combining domain knowledge and statistical models in time series analysis

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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.
Published at http://dx.doi.org/10.1214/074921706000001049 in the IMS Lecture Notes Monograph Series (http://www.imstat.org/publications/lecnotes.htm) by the Institute of Mathematical Statistics (http://www.imstat.org)

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Statistics Theory, Statistical Finance, 62M10, 62M20 (Primary) 62P05, 62P10 (Secondary)

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http://salesiana.dossiersoluciones.com/handle/123456789/208948

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0702814
 http://arxiv.org/abs/math/0702814
 IMS Lecture Notes Monograph Series 2006, Vol. 52, 193-209
 doi:10.1214/074921706000001049

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arXiv