A nonparametric method of multi-step ahead forecasting in diffusion processes
スポンサーリンク
概要
- 論文の詳細を見る
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.
論文 | ランダム
- 介護保険制度におけるソーシャルワークの課題--高齢者の「孤独死」・「自殺」の問題をめぐる考察
- 耳小骨筋反射による顎機能異常の病態評価
- 顎関節クリックの発現頻度と中耳機能および耳小骨筋反射の変動様相
- 対側音刺激による自発耳音響放射の変化
- 耳小骨筋反射の潜時と波形に及ぼす外耳道圧の影響