PARAMETRIC SPECTRAL ANALYSIS PROCESS OF TIME SERIES FLUCTUATION STOCK MARKET PRICES |
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| Vladimir Yakimov, Anton Philimonov |
- Abstract:
- To describe a problem of a parametric spectral analyze of a time series fluctuation price process on a stock market. It is used difference-linear equation like the model of the initial data. It’s has been obtained stable results of estimation parameters by stochastic smoothing.
- Keywords:
- ARMA, spectral analyze, time series fluctuation price
- Download:
- IMEKO-TC1-TC7-2008-033.pdf
- DOI:
- -
- Event details
- IMEKO TC:
- TC7
- Event name:
- TC1 & TC7 Conference 2008
- Title:
12th IMEKO TC1 & TC7 Joint Symposium on "Man, Science & Measurement" (TC7)
- Place:
- Annecy, FRANCE
- Time:
- 03 September 2008 - 05 September 2008