Combining domain knowledge and statistical models in time series analysis

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dc.creatorLai, Tze Leung
dc.creatorWong, Samuel Po-Shing
dc.date2007-02-27
dc.date.accessioned2026-07-07T12:07:22Z
dc.date.available2026-07-07T12:07:22Z
dc.descriptionThis 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.
dc.descriptionPublished 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)
dc.identifierhttps://arxiv.org/abs/math/0702814
dc.identifierhttp://arxiv.org/abs/math/0702814
dc.identifierIMS Lecture Notes Monograph Series 2006, Vol. 52, 193-209
dc.identifierdoi:10.1214/074921706000001049
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208948
dc.subjectStatistics Theory
dc.subjectStatistical Finance
dc.subject62M10, 62M20 (Primary) 62P05, 62P10 (Secondary)
dc.titleCombining domain knowledge and statistical models in time series analysis
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