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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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Bibliographic Details
Date:2019
Main Author: Bidyuk, P. I.
Format: Article
Language:Ukrainian
Published: The National Technical University of Ukraine "Igor Sikorsky Kyiv Polytechnic Institute" 2019
Online Access:http://journal.iasa.kpi.ua/article/view/172532
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Journal Title:System research and information technologies

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System research and information technologies

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