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PARAMETRIC SPECTRAL ANALYSIS PROCESS OF TIME SERIES FLUCTUATION STOCK MARKET PRICES

Vladimir Yakimov, Anton Philimonov
  • Abstract:
    To describe a problem of a parametric spectral analyze of a time series fluctuation price process on a stock market. It is used difference-linear equation like the model of the initial data. It’s has been obtained stable results of estimation parameters by stochastic smoothing.
  • Keywords:
    ARMA, spectral analyze, time series fluctuation price
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  • DOI:
    _unreg_tc7-2008.033

Event details:

  • IMEKO TC:
    TC7
  • Event name:
    TC1 & TC7 Conference 2008
  • Title:

    12th IMEKO TC1 & TC7 Joint Symposium on "Man, Science & Measurement" (TC7)

  • Place:
    Annecy, FRANCE
  • Time:
    03 September 2008 - 05 September 2008