Про стохастичні регресійні моделі з неперервним часом

• Date: 2018
• Main Authors: Pavlenko, O. I., Goldshteine, I. Ya.
• Format: Article
• Language: Russian
• Published: The National Technical University of Ukraine "Igor Sikorsky Kyiv Polytechnic Institute" 2018
• Online Access: http://journal.iasa.kpi.ua/article/view/127963
• Journal Title: System research and information technologies

Two processes described by related impulse dynamical systems are considered. When combined, they are an analogue of the autoregressive model with GARCH errors and Markov process instead of "white noise" as well as with switching moments, which are random, that is, with Poisson’s flow. In t...