THE MATHEMATICAL MODEL OF TIME SERIES SMOOTHING FOR SOLVING THE PROBLEMS OF FORECASTING

Authors

  • Vladimir Nikolayevich NAUMOV Северо-Западная академия государственной службы Автор
  • Sergey Vladimirovich NAUMOV Автор

Keywords:

time series, method of the least squares, approximation error, iterative algorithm of smoothing of a casual component of time series

Abstract

THE ARTICLE DESCRIBES A MATHEMATICAL MODEL OF SMOOTHING OF NON-STATIONARY TIME SERIES TO MEET THE CHALLENGES OF FORECASTING THE SOCIAL AND ECONOMIC PROCESSES. THE MODEL IS BASED ON THE USE OF AN ITERATIVE ALGORITHM OF ESTIMATION OF THE PARAMETERS OF A TREND, AS WELL AS THE PARAMETERS OF THE MODEL OF THE RANDOM COMPONENT BY USING THE CLASSICAL METHOD OF LEAST SQUARES AND THE OPERATOR OF A LOG.

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References

Бокс Дж., Дженкинс Г. Анализ временных рядов. Прогноз и управление. М., 1974.

Большаков А. А., Каримов Р. Н. Методы обработки многомерных данных и временных рядов. М., 2007.

Плохотников К. Э. Основы эконометрики в пакете Statistica. М., 2010.

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Published

2011-05-15

Issue

No. 3 (2011)

Section

Articles

How to Cite

NAUMOV V.N., NAUMOV S.V. THE MATHEMATICAL MODEL OF TIME SERIES SMOOTHING FOR SOLVING THE PROBLEMS OF FORECASTING // Administrative Consulting. 2011. no. 3. P. 160–168.