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Методи оцінювання константи коінтеграції за умов апріорної невизначеності

A new system approach to cointegration constant estimation, based on prior analyses of stochastic components of the problem is proposed. Stochastic components are estimated using parametric identification methods, which allow estimating statistical characteristics of noise under conditions of priori...

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Bibliographic Details
Date:2019
Main Authors: Naroditskaya, N. A., Podladchikov, B. N.
Format: Article
Language:Russian
Published: The National Technical University of Ukraine "Igor Sikorsky Kyiv Polytechnic Institute" 2019
Online Access:http://journal.iasa.kpi.ua/article/view/174304
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Journal Title:System research and information technologies

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System research and information technologies

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