System approach to construction of regression models on time series

Authors

  • P. I. Biduk
  • I. V. Baklan
  • V. N. Rifa

Abstract

A 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.

Author Biographies

P. I. Biduk

Biduk P.I.

I. V. Baklan

Baklan I.V.

V. N. Rifa

Rifa V.N.

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Issue

No. 3 (2002)

Section

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

License

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