Result: Multivariate smooth transition ar model with aggregation operators and application to exchange rates
Title:
Multivariate smooth transition ar model with aggregation operators and application to exchange rates
Authors:
Source:
8th International Conference on Fuzzy Sets - Theory and Applications, Liptovský Ján, January 31-February 3, 2006: Selected papersKybernetika. 43(2):245-254
Publisher Information:
Praha: Academia, 2007.
Publication Year:
2007
Physical Description:
print, 7 ref
Original Material:
INIST-CNRS
Subject Terms:
Control theory, operational research, Automatique, recherche opérationnelle, Mathematics, Mathématiques, Sciences exactes et technologie, Exact sciences and technology, Sciences et techniques communes, Sciences and techniques of general use, Mathematiques, Mathematics, Probabilités et statistiques, Probability and statistics, Statistiques, Statistics, Inférence à partir de processus stochastiques; analyse des séries temporelles, Inference from stochastic processes; time series analysis, Analyse régression, Regression analysis, Análisis regresión, Codage, Coding, Codificación, Code, Código, Modélisation, Modeling, Modelización, Spécification, Specification, Especificación, Série temporelle, Time series, Serie temporal, 37M10, aggregation operator, exchange rates, information criterion, multivariate STAR
Document Type:
Conference
Conference Paper
File Description:
text
Language:
English
Author Affiliations:
Faculty of Civil Engineering, Slovak University of Technology, Bratislava, Slovakia
ISSN:
0023-5954
Rights:
Copyright 2007 INIST-CNRS
CC BY 4.0
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
CC BY 4.0
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
Notes:
Mathematics
Accession Number:
edscal.18996212
Database:
PASCAL Archive
Further Information
An overview of multivariate modelling based on logistic and exponential smooth transition models with transition variable generated by aggregation operators and orders of auto and exogenous regression selected by information criterion separately for each regime is given. Model specification procedure is demonstrated on trivariate exchange rates time series. The application results show satisfactory improvement in fit when particular aggregation operators are used. Source code in the form of Mathematica package is provided.