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.
Keywords
time series, Markov chain, transition probability, regression model
Matvejevs, A., Šadurskis, K. Autoregressive Models of Risk Prediction and Estimation Using Markov Chain Approach. In: Proceedings of the 9th International Conference APLIMAT 2010, Slovakia, Bratislava, 2-5 February, 2010. Bratislava: Slovak University of Technology, 2010, pp.217-223. ISBN 9788089313471.
Publication language
English (en)