Modeling and forecasting for heteroscedastic processes


  • P. I. Bidyuk


A methodology of constructing mathematical models for heteroscedastic processes and its application in describing dynamics of time series are considered. A simplified test for heteroscedasticity is proposed and algorithm for model improvement thanks to taking into consideration the spikes substantially greater than the mean value of a series. The variance forecasting functions are constructed as a measure of risk on the basis of the equations solutions. Some examples of forecasting real time series are given.

Author Biography

P. I. Bidyuk

Bidyuk P.I.



Mathematical methods, models, problems and technologies for complex systems research