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Wavelets in state space models

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  • Eliana Zandonade
  • Pedro A. Morettin

Abstract

In this paper, we consider the utilization of wavelets in conjunction with state space models. Specifically, the parameters in the system matrix are expanded in wavelet series and estimated via the Kalman Filter and the EM algorithm. In particular this approach is used for switching models. Two applications are given, one to the problem of detecting the paths of targets using an array of sensors, and the other to a series of daily spreads between two Brazilian bonds. Copyright © 2003 John Wiley & Sons, Ltd.

Suggested Citation

  • Eliana Zandonade & Pedro A. Morettin, 2003. "Wavelets in state space models," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 19(3), pages 199-219, July.
    • Handle: RePEc:wly:apsmbi:v:19:y:2003:i:3:p:199-219
    DOI: 10.1002/asmb.496
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