System approach to construction of regression models on time series
AbstractA modified approach to mathematical models building of various processes using time series is proposed. The notion of model structure that allows to properly select a specific structure in the process of model construction is formulated. It is proposed to split the process of model construction in the following five steps: process analysis, detection of non-linearity, selection of model structure for possible candidates, selection of parameter estimation methods and estimation of the candidates, and selection of the best fit model using a set of statistics. The approach proposed has been tested successfully on a set of examples of econometric model building.
Mathematical methods, models, problems and technologies for complex systems research