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Autoregressive Models of Risk Prediction and Estimation Using Markov Chain Approach

By Andrejs Matvejevs and Kārlis Šadurskis

Abstract

The possibility of identifying nonlinear time series using non parametric estimates of the conditional mean and conditional variance is studied

Topics: time series, Markov chain, transition probability, regression model
Publisher: Slovak University of Technology
OAI identifier: oai:ortus.rtu.lv:15760
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