Computational Intelligence in Time Series Forecasting: by Ajoy K. Palit

By Ajoy K. Palit

The e-book is a precis of equations. those equations are usually not defined whatever. now not even the symbols utilized in these equations are defined.

If you realize this publication, you should not have got it, since you most likely allready understood every little thing that was once in it.

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Additional info for Computational Intelligence in Time Series Forecasting: Theory and Engineering Applications (Advances in Industrial Control)

Example text

The observation set of nonlinear time series may contain various shocks of different form and of different intensity. In financial engineering practice, it is common to check the time series nonlinearity using first a linear time series model. If the linear model does not fit the major part of observation data, then a nonlinear model is built and tested. However, the problem then is what nonlinear model should be selected that will best fit the collected data (Casdagli and Eubank, 1992). There are some traditional examples of such models like STAR (smooth transition autoregression model), ARCH (autoregressive conditional heteroskedasticity) and the bilinear model, widely used in econometrics and financial forecasting.

T q , V a2 that are to be estimated from the given time series data. In practice, for the representation of actually occurring stationary time series, it is frequently adequate enough to take p and q not greater than 2. The presence of both autoregressive and moving-average terms in the ARMA model enables the representation of complex time series with fewer parameters than would be needed using a corresponding AR model. 4 ARIMA Model This Box-Jenkins variant of the ARMA model is predestinated for applications to nonstationary time series that become stationary after their differencing.

The last equality, I NN , represents the partial autocorrelation function. Here, the sample autocorrelation function for an AR(1) process should have mixed Traditional Problem Definition 45 exponentially decaying and damped sinusoidal components. In addition, for higher order autoregressive processes the sample partial autocorrelation function should also be considered, which becomes zero when more model parameters are involved than needed.

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