Local Lagged Adapted Generalized Method of Moments Dynamic Process

Olusegun Michael Otunuga (Inventor), Gangaram Ladde (Inventor), Nathan Ladde (Inventor)

Research output: Patent

Abstract

Aspects of a local lagged adapted generalized method of moments (LLGMM) dynamic process are described herein. In one embodiment, the LLGMM process includes obtaining a discrete time data set as past state information of a continuous time dynamic process over a time interval, developing a stochastic model of the continuous time dynamic process, generating a discrete time interconnected dynamic model of local sample mean and variance statistic processes (DTIDMLSMVSP) based on the stochastic model, and calculating a plurality of admissible parameter estimates for the stochastic model using the DTIDMLSM­VSP. Further, in some embodiments, the process further includes, for at least one of the plurality of admissible parameter estimates, calculating a state value of the stochas­tic model to gather a plurality of state values, and determin­ing an optimal admissible parameter estimate among the plurality of admissible parameter estimates that results in a minimum error among the plurality of state values.
Original languageEnglish (US)
Patent number10719578
Filing date10/27/15
StatePublished - Jul 21 2020

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