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Computational intensive methods for prediction and imputation in time series analysis

100%

Neves M., Cordeiro C.

Discussiones Mathematicae Probability and Statistics

2011

tom 31

nr 1-2

121-139

One of the main goals in times series analysis is to forecast future values. Many forecasting methods have been developed and the most successful are based on the concept of exponential smoothing, based on the principle of obtaining forecasts as weighted combinations of past observations. Classical procedures to obtain forecast intervals assume a known distribution for the error process, what is not true in many situations. A bootstrap methodology can be used to compute distribution free forecast intervals. First an adequately chosen model is fitted to the data series. Afterwards, and inspired on sieve bootstrap, an AR(p) is used to filter the series of the random component, under the stationarity hypothesis. The centered residuals are then resampled and the initial series is reconstructed. This methodology will be used to obtain forecasting intervals and for treating missing data, which often appear in a real time series. An automatic procedure was developed in R language and will be applied in simulation studies as well as in real examples.

Market efficiency and non-linear dependence in the Czech crown/US dollar foreign exchange market

100%

Chappell D., Eldridge R.

Discussiones Mathematicae Probability and Statistics

2002

tom 22

nr 1-2

27-35

We examine the Czech Crown/US Dollar exchange rate for evidence of market efficiency during the period May, 1997, to September, 1998. The Czech Crown was floated on the world's foreign exchange markets in May, 1997, and it is of interest to examine the behaviour of this new market. We show that this foreign exchange market satisfied the criteria for weak form efficiency during the first part of the period under investigation but there is evidence of non-linear dependence during the second part of the period. This is successfully modelled using a GARCH-M(1,1) representation.

Ograniczanie wyników

2 Discussiones Mathematicae Probability and Statistics

1 Chappell D.

1 Cordeiro C.

1 Eldridge R.

1 Neves M.

1 2011

1 2002

Wyniki wyszukiwania

Computational intensive methods for prediction and imputation in time series analysis

Market efficiency and non-linear dependence in the Czech crown/US dollar foreign exchange market