Системний підхід до прогнозування на основі моделей часових рядів
Constructing of forecasting functions is considered for the following classes of processes: stationary autoregression and autoregression with moving average part, processes with deterministic and stochastic trends, heteroscedastic and cointegrated processes. The forecasting functions are given deriv...
Збережено в:
| Дата: | 2019 |
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| Автор: | |
| Формат: | Стаття |
| Мова: | Українська |
| Опубліковано: |
The National Technical University of Ukraine "Igor Sikorsky Kyiv Polytechnic Institute"
2019
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| Онлайн доступ: | http://journal.iasa.kpi.ua/article/view/173911 |
| Теги: |
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| Назва журналу: | System research and information technologies |
Репозитарії
System research and information technologies| Резюме: | Constructing of forecasting functions is considered for the following classes of processes: stationary autoregression and autoregression with moving average part, processes with deterministic and stochastic trends, heteroscedastic and cointegrated processes. The forecasting functions are given derived with and without the difference equation solution. To describe the stochastic trend, the random step model with noise and drift and the model of linear local trend are used. The basic types of equations are given for describing heteroscedastic and cointegrated processes. |
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