کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
976858 933157 2010 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A nonparametric method of multi-step ahead forecasting in diffusion processes
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
A nonparametric method of multi-step ahead forecasting in diffusion processes
چکیده انگلیسی
This paper provides a nonparametric model of multi-step ahead forecasting in diffusion processes. The model is constructed from the local linear model with the Gaussian kernel. The paper provides simulation studies to evaluate its performance of multi-step ahead forecasting by comparing with the global linear model, showing the better forecasting performance of the nonparametric model than the global linear model. The paper also conducts empirical analysis for forecasting using intraday data of the Japanese stock price index and the time series of heart rates. The result shows the performance of forecasting does not differ much in the Japanese stock price index, but that the nonparametric model shows significantly better performance in the analysis of the heart rates.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 389, Issue 12, 15 June 2010, Pages 2408-2415
نویسندگان
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