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...
Saved in:
| Date: | 2015 |
|---|---|
| Main Author: | |
| 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 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Journal Title: | System research and information technologies |
Institution
System research and information technologiesBe the first to leave a comment!