| EPSRC Reference: |
GR/L16385/01 |
| Title: |
A DYNAMICAL SYSTEM APPROACH TO MULTI-INPUT-OUTPUT NONLINEAR STOCHASTIC SYSTEMS |
| Principal Investigator: |
Tong, Professor H |
| Other Investigators: |
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| Researcher Co-Investigators: |
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| Project Partners: |
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| Department: |
Sch of Maths Statistics & Actuarial Sci |
| Organisation: |
University of Kent |
| Scheme: |
Standard Research (Pre-FEC) |
| Starts: |
01 January 1997 |
Ends: |
31 December 1998 |
Value (£): |
72,725
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| EPSRC Research Topic Classifications: |
| Statistics & Appl. Probability |
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Summary on Grant Application Form |
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In recent years, with increasing computer power has come an increasing demand for tools that can identify the underlying structure and forecast the future up to a new standard of accuracy. This has led to a rapid development in the dynamical system approach to nonlinear time series analysis in the last few years. In most practical cases, a time series is also influenced by some exogenous time series of covariates. Therefore, it is theoretically pertinent and practically necessary to establish statistical methods for modelling and forecasting multi-input-output nonlinear stochastic systems. In order to make out methods ready to use, it is also important to pinpoint effective ways to bypass the curse-of-dimensionality in multivariate fitting if possible. We aim to gain a much fuller appreciation of various methods of multivariate estimation in the time series context through the three case studies which, in the meanwhile, will also show benefits from genuine application of newly developed techniques in nonlinear time series analysis.
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Key Findings |
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This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
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Potential use in non-academic contexts |
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This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
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Impacts |
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| Description |
This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk |
| Summary |
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| Date Materialised |
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Sectors submitted by the Researcher |
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This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
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| Project URL: |
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| Further Information: |
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| Organisation Website: |
http://www.kent.ac.uk |