Please use this identifier to cite or link to this item:
https://elib.bsu.by/handle/123456789/51967| Title: | Prediction of time series based on state space model |
| Authors: | Lobach, S. V. |
| Keywords: | ЭБ БГУ::ЕСТЕСТВЕННЫЕ И ТОЧНЫЕ НАУКИ::Кибернетика |
| Issue Date: | 2013 |
| Publisher: | Minsk : Publ. center of BSU |
| Citation: | Computer Data Analysis and Modeling: Theoretical and Applied Stochastics : Proc. of the Tenth Intern. Conf., Minsk, Sept. 10–14, 2013. Vol 1. — Minsk, 2013. — P. 210-213 |
| Abstract: | A method of the prediction of time series based on the state space model is suggested. It provides recursive formulae for the estimation of the state but in some special case recursive formulas can be derived. The AR(2) model is investigated in more details including a simulation study. |
| URI: | http://elib.bsu.by/handle/123456789/51967 |
| Appears in Collections: | Статьи факультета прикладной математики и информатики 2013. Computer Data Analysis and Modeling. Vol 1 Vol. 1 |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 210-213.pdf | 344,19 kB | Adobe PDF | View/Open |
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