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.
Cite
@article{arxiv.math/0702814,
title = {Combining domain knowledge and statistical models in time series analysis},
author = {Tze Leung Lai and Samuel Po-Shing Wong},
journal= {arXiv preprint arXiv:math/0702814},
year = {2008}
}
Comments
Published 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)