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A novel black-box model for time series of prices analysis is proposed. It is constructed using the technique of “shaping filter”. The model identification is then proposed; it is based upon some stochastic calculus and a couple of results from Lévy processes theory. Neither the modeling nor the estimation parts are specific to the application, several(More)
A probabilistic approach is proposed to manage uncertainty when dealing with estimation in dynamical models. The approach utilizes a linear integral transformation and relies on McShane’s theory of stochastic differential equations. The starting point is a knowledge-based model where the estimation problem is set. The approach is quite general, it is(More)
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