Combining domain knowledge and statistical models in time series analysis

Details Combining domain knowledge and statistical models in time series analysis Combining domain knowledge and statistical models in time series analysis

2007-02-27

arxiv.org/abs/math/0702814v1

IMS Lecture Notes Monograph Series 2006, Vol. 52, 193-209

Mathematics

Statistics Theory

Published at http://dx.doi.org/10.1214/074921706000001049 in the IMS Lecture Notes Monograph Series (http://www.imstat.org/p

Scientific paper

10.1214/074921706000001049

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.

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