经济建模中参数估计的数据同化

2019 15th International Conference on Signal-Image Technology & Internet-Based Systems (SITIS) Pub Date : 2019-11-01 DOI:10.1109/SITIS.2019.00106

Philip Nadler, Rossella Arcucci, Yi-Ke Guo

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引用次数: 8

摘要

我们提出了一种用于经济模型中潜在参数估计的数据同化方法。我们描述了一个具有潜在状态变量的经济系统的动态模型，该模型描述了经济实体随时间的关系以及随机波动分量。我们展示并讨论了模型与数据同化的关系以及它是如何推导出来的。我们将其应用于对加密货币生态系统进行多元分析。这些方法的结合为经济建模的分析开辟了一个新的维度。经济学，多元分析，动力系统，比特币，数据同化

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Data Assimilation for Parameter Estimation in Economic Modelling

We propose a data assimilation approach for latent parameter estimation in economic models. We describe a dynamic model of an economic system with latent state variables describing the relationship of economic entities over time as well as a stochastic volatility component. We show and discuss the model's relationship with data assimilation and how it is derived. We apply it to conduct a multivariate analysis of the cryptocurrency ecosystem. Combining these approaches opens a new dimension of analysis to economic modelling. Economics, Multivariate Analysis, Dynamical System, Bitcoin, Data Assimilation

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来源期刊

2019 15th International Conference on Signal-Image Technology & Internet-Based Systems (SITIS)

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