State-parameter Dependency Estimation of Stochastic Time Series using Data Transformation and Parameterization by Support Vector Regression

Elvis Omar Jara Alegria, Hugo Tanzarella Teixeira, Celso Pascoli Bottura

Abstract

This position paper is about the identification of the dependency among parameters and states in regression models of stochastic time series. Conventional recursive algorithms for parameter estimation do not provide good results in models with state-dependent parameters (SDP) because these may have highly non-linear behavior. To detect this dependence using conventional algorithms, we are studying some data transformations that we implement in this paper. Non-parametric relationships among parameters and states are obtained and parameterized using support vector regression. This way we look for a final non-linear structure to solve the SDP identification problem.

References

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Paper Citation


in Harvard Style

Omar Jara Alegria E., Tanzarella Teixeira H. and Pascoli Bottura C. (2015). State-parameter Dependency Estimation of Stochastic Time Series using Data Transformation and Parameterization by Support Vector Regression . In Proceedings of the 12th International Conference on Informatics in Control, Automation and Robotics - Volume 1: ICINCO, ISBN 978-989-758-122-9, pages 342-347. DOI: 10.5220/0005574103420347


in Bibtex Style

@conference{icinco15,
author={Elvis Omar Jara Alegria and Hugo Tanzarella Teixeira and Celso Pascoli Bottura},
title={State-parameter Dependency Estimation of Stochastic Time Series using Data Transformation and Parameterization by Support Vector Regression},
booktitle={Proceedings of the 12th International Conference on Informatics in Control, Automation and Robotics - Volume 1: ICINCO,},
year={2015},
pages={342-347},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0005574103420347},
isbn={978-989-758-122-9},
}


in EndNote Style

TY - CONF
JO - Proceedings of the 12th International Conference on Informatics in Control, Automation and Robotics - Volume 1: ICINCO,
TI - State-parameter Dependency Estimation of Stochastic Time Series using Data Transformation and Parameterization by Support Vector Regression
SN - 978-989-758-122-9
AU - Omar Jara Alegria E.
AU - Tanzarella Teixeira H.
AU - Pascoli Bottura C.
PY - 2015
SP - 342
EP - 347
DO - 10.5220/0005574103420347