STABILISATION OF MEAN AND VARIANCE FOR NONSTATIONARY PROCESSES

被引：0

作者：

Kvapil, David ^{[1
]}

机构：

[1] UNIS As, Dept Optimizat & Adv Control, Jundrovska 33, Brno 62400, Czech Republic

来源：

APLIMAT 2009: 8TH INTERNATIONAL CONFERENCE, PROCEEDINGS | 2009年

关键词：

Stochastic modeling; Box - Jenkins (S)AR(I)MA model; nonstationary process; GARCH model;

D O I：

暂无

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

Nonstationary processes occur in stochastic analysis of technological data. This problem can be solved by several methods. We resume some approaches to the task of nonstationary process and shortly illustrate process of stochastic analysis in technometrics. We will construct GARCH model for technological data and demonstrate its creation in MATLAB.

引用

页码：601 / 610

页数：10