ksiazka tytuł: Prediction of nonlinear nonstationary time series data autor: Premanode Bhusana
DOSTAWA WYŁĄCZNIE NA TERYTORIUM POLSKI

FORMY I KOSZTY DOSTAWY
  • 0,00 zł
  • 0,00 zł
  • 9,50 zł
  • 12,50 zł
  • 0,00 zł
  • Od 9,90 zł
  • Od 11,00 zł
  • 0,00 zł
  • Od 6,90
  • Od 9,90

Prediction of nonlinear nonstationary time series data

Wersja papierowa
Wydawnictwo: KS OmniScriptum Publishing
ISBN: 978-36-598-9408-4
Format: 15.2x22.9cm
Liczba stron: 212
Oprawa: Miękka
Wydanie: 2016 r.
Język: angielski

Dostępność: dostępny
466,90 zł

Volatility is a critical parameter when measuring the size of the errors made in modelling returns and other nonlinear nonstationary time series data. The Autoregressive Integrated Moving-Average (ARIMA) model is a linear process in time series; whilst in the nonlinear system, the Generalised Autoregressive Conditional Heteroskedasticity (GARCH) and Markov Switching GARCH (MS-GARCH) models have been widely applied. In statistical learning theory, Support Vector Regression (SVR) plays a significant role in predicting nonlinear and nonstationary time series data. The book contains a new class model comprised a combination of a novel derivative Empirical Mode Decomposition (EMD), averaging intrinsic mode function (aIMF) and a novel of multiclass SVR using mean reversion and coefficient of variance (CV) to predict financial data i.e. EUR-USD exchange rates. The novel aIMF is capable of smoothing and reducing noise, whereas the novel of multiclass SVR model can predict exchange rates.