Markov Autoregression Model with Heteroscedasticity

Системнi дослiдження та Iнформацiйнi технологiï = System Analysis and Information Technology 2008
Andrejs Matvejevs, Kārlis Šadurskis

Time series forecasting used by the theory of Markov chains are considered. For this purpose the main task is to find the transition probabilities of Markov chain on the basis of observed values of the time series. It is proved, that to find the transition probabilities of Markov chain with all necessary requirements one can use the quadratic programming on simplex.

Keywords
Time series, Markov chain, transition probability, regression model,
Hyperlink
http://journal.iasa.kpi.ua/zm456st/2008/No2/2008-n2-matveev

Matvejevs, A., Šadurskis, K. Markov Autoregression Model with Heteroscedasticity. Системнi дослiдження та Iнформацiйнi технологiï = System Analysis and Information Technology, 2008, 2, pp.97-109. ISSN 1681-6048.

Publication language
Russian (ru)