Forecasting consumer price index in Ukraine with regression models and adaptive Kalman filter

• Main Authors: Karayuz, І.V., Bidyuk, P.I.
• Format: Article
• Language: English
• Published: Навчально-науковий комплекс "Інститут прикладного системного аналізу" НТУУ "КПІ" МОН та НАН України 2015
• Series: Системні дослідження та інформаційні технології
• Subjects: Прогресивні інформаційні технології, високопродуктивні комп’ютерні системи
• Online Access: http://dspace.nbuv.gov.ua/handle/123456789/123530

The paper considers the problem of short term forecasting of consumer price index using regression models and adaptive Kalman filter. The main purpose of the study is constructing of high quality model for forecasting of consumer price index and application of Kalman filter for computing optimal estimates of states for the process under investigation. The basic results of the study are as follows: two modifications of the Kalman filter (ordinary and adaptive), directed towards estimation of covariances for stochastic state disturbances and measurement errors. Alternative short term forecasts are generated with regression models and Kalman filters. A comparative analysis of results achieved is given. The necessary statistical data was taken from Ukrainian economy in transition.