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
Keywords:
basis function
,
combined substantive-empirical approach
,
domain knowledge
,
empirical models
,
Mechanistic models
,
time series analysis
Rights: Copyright © 2006, Institute of Mathematical Statistics
