TESTING OF CYCLIC STRUCTURAL CHANGES IN SWITCHING REGIME VECTOR AUTOREGRESSIVE MODELS
For vector autoregressive models RS-VARX with cyclic regime switching of states the method of excluding of short-term system state fluctuations is proposed. The method is based on a sequential application of two algorithms, realizing the Bayesian “plug-in” decision rule of point wise classification...
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| Main Author: | |
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| Format: | Article |
| Language: | Russian |
| Published: |
National Academy of Sciences of Belarus, the United Institute of Informatics Problems
2016-11-01
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| Series: | Informatika |
| Online Access: | https://inf.grid.by/jour/article/view/176 |
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| Summary: | For vector autoregressive models RS-VARX with cyclic regime switching of states the method of excluding of short-term system state fluctuations is proposed. The method is based on a sequential application of two algorithms, realizing the Bayesian “plug-in” decision rule of point wise classification and a statistical test for expected probability of misclassification. Accuracy of the approach is examined by means of computer simulation experiments. |
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| ISSN: | 1816-0301 |