Моделювання і прогнозування гетероскедастичних процесів
A methodology of constructing mathematical models for heteroscedastic processes and its application in describing dynamics of time series are considered. A simplified test for heteroscedasticity is proposed and algorithm for model improvement thanks to taking into consideration the spikes substantia...
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| Datum: | 2019 |
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| 1. Verfasser: | |
| Format: | Artikel |
| Sprache: | Ukrainisch |
| Veröffentlicht: |
The National Technical University of Ukraine "Igor Sikorsky Kyiv Polytechnic Institute"
2019
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| Online Zugang: | http://journal.iasa.kpi.ua/article/view/172532 |
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| Назва журналу: | System research and information technologies |
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System research and information technologies| Zusammenfassung: | A methodology of constructing mathematical models for heteroscedastic processes and its application in describing dynamics of time series are considered. A simplified test for heteroscedasticity is proposed and algorithm for model improvement thanks to taking into consideration the spikes substantially greater than the mean value of a series. The variance forecasting functions are constructed as a measure of risk on the basis of the equations solutions. Some examples of forecasting real time series are given. |
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