Autoregressive Models of Risk Prediction and Estimation Using Markov Chain Approach

Proceedings of the 9th International Conference APLIMAT 2010 2010
Andrejs Matvejevs, Kārlis Šadurskis

The possibility of identifying nonlinear time series using non parametric estimates of the conditional mean and conditional variance is studied.

Atslēgas vārdi
time series, Markov chain, transition probability, regression model

Matvejevs, A., Šadurskis, K. Autoregressive Models of Risk Prediction and Estimation Using Markov Chain Approach. No: Proceedings of the 9th International Conference APLIMAT 2010, Slovākija, Bratislava, 2.-5. februāris, 2010. Bratislava: Slovak University of Technology, 2010, 217.-223.lpp. ISBN 9788089313471.

Publikācijas valoda
English (en)