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Journal of Automation and Information Sciences
SJR: 0.232 SNIP: 0.464 CiteScore™: 0.27

ISSN Druckformat: 1064-2315
ISSN Online: 2163-9337

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Journal of Automation and Information Sciences

DOI: 10.1615/JAutomatInfScien.v33.i5-8.290
9 pages

Comparative Analysis of Methods for Prediction of Economic Parameter

Olga V. Dudnik
Research and Training Complex "Institute of Applied Systems Analysis" of National Academy of Sciences of Ukraine and Ministry of Education and Science of Ukraine, Kyiv, Ukraine

ABSTRAKT

Some modern directions of the statistical analysis and prediction of dynamic series are described. On examples of two real dynamic series, namely, for the Ukrainian hrivna rate relative to the US dollar and the Russian rouble for the second half of 1997, the operation of such prediction methods as the Brown method, the method of exponential smoothing with application of the Laguerre orthogonal polynomials, the adaptive Kalman filter is investigated. The regression model of a process was also constructed for these series, which is later tested for heteroscedasticity. The results of application of the noted above methods and comparison of their potentials are presented.


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