Bidirectional Estimation and Confidence Regions for TES Processes

@inproceedings{Jagerman1995BidirectionalEA,
  title={Bidirectional Estimation and Confidence Regions for TES Processes},
  author={David L. Jagerman and Benjamin Melamed},
  booktitle={MASCOTS},
  year={1995}
}
TES (Transform-Expand-Sample) is a versatile class of stationary stochastic processes which can model arbitrary marginals, a wide variety of autocorrelation functions, and a broad range of sample path behaviors. The TES modeling methodology aims to simultaneously capture the empirical marginal distribution (histogram) and autocorrelation function of empirical time series, assuming only that they are from a stationary probability law. In this paper we utilize the known transition structure of… CONTINUE READING

From This Paper

Figures, tables, and topics from this paper.

Similar Papers

Loading similar papers…