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https://hdl.handle.net/10216/158436| Author(s): | Paula Milheiro de Oliveira |
| Title: | An alternative sequential method for the state estimation of a partially observed SETAR(1) process |
| Issue Date: | 2022 |
| Abstract: | We discuss a novel sequential test based on the quadratic variation of the observations to decide which regime governs the dynamics of the non-observed process in a filtering problem with small observation noise. The non-observed state process is a self-exciting threshold autoregressive process of order one (SETAR(1)) with two regimes. The observation function is not one-to-one. The proposed procedure performs well and may be competitive in some applications. |
| DOI: | 10.1016/j.spl.2022.109385 |
| URI: | https://hdl.handle.net/10216/158436 |
| Document Type: | Artigo em Revista Científica Internacional |
| Rights: | openAccess |
| Appears in Collections: | FEUP - Artigo em Revista Científica Internacional |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 531620.pdf | published paper | 391.51 kB | Adobe PDF |  View/Open |
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