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