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Метод згладженої автокореляційної функції для прогнозування варіації гетероскедастичних часових рядів

The paper proposes a new method for forecasting the variability for strong volatile heteroscedastic time series. An autoregressive model of an infinite order is considered as a model of time series. Parameters of the model are found as a solution of a Toeplitz system that uses correlation coefficien...

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Bibliographic Details
Date:2015
Main Author: Zrazhevska, N. G.
Format: Article
Language:Ukrainian
Published: The National Technical University of Ukraine "Igor Sikorsky Kyiv Polytechnic Institute" 2015
Online Access:http://journal.iasa.kpi.ua/article/view/54473
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Journal Title:System research and information technologies

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System research and information technologies

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