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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| Format: | Article |
| Language: | Russian |
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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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| _version_ | 1832543158106324992 |
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| author | V. I. Malugin |
| author_facet | V. I. Malugin |
| author_sort | V. I. Malugin |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-70d840502ab7485b90270617dbc88581 |
| institution | Kabale University |
| issn | 1816-0301 |
| language | Russian |
| publishDate | 2016-11-01 |
| publisher | National Academy of Sciences of Belarus, the United Institute of Informatics Problems |
| record_format | Article |
| series | Informatika |
| spelling | doaj-art-70d840502ab7485b90270617dbc885812025-02-03T11:51:50ZrusNational Academy of Sciences of Belarus, the United Institute of Informatics ProblemsInformatika1816-03012016-11-0104516175TESTING OF CYCLIC STRUCTURAL CHANGES IN SWITCHING REGIME VECTOR AUTOREGRESSIVE MODELSV. I. Malugin0НИИ прикладных проблем математики и информатики Белорусского государственного университета,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.https://inf.grid.by/jour/article/view/176 |
| spellingShingle | V. I. Malugin TESTING OF CYCLIC STRUCTURAL CHANGES IN SWITCHING REGIME VECTOR AUTOREGRESSIVE MODELS Informatika |
| title | TESTING OF CYCLIC STRUCTURAL CHANGES IN SWITCHING REGIME VECTOR AUTOREGRESSIVE MODELS |
| title_full | TESTING OF CYCLIC STRUCTURAL CHANGES IN SWITCHING REGIME VECTOR AUTOREGRESSIVE MODELS |
| title_fullStr | TESTING OF CYCLIC STRUCTURAL CHANGES IN SWITCHING REGIME VECTOR AUTOREGRESSIVE MODELS |
| title_full_unstemmed | TESTING OF CYCLIC STRUCTURAL CHANGES IN SWITCHING REGIME VECTOR AUTOREGRESSIVE MODELS |
| title_short | TESTING OF CYCLIC STRUCTURAL CHANGES IN SWITCHING REGIME VECTOR AUTOREGRESSIVE MODELS |
| title_sort | testing of cyclic structural changes in switching regime vector autoregressive models |
| url | https://inf.grid.by/jour/article/view/176 |
| work_keys_str_mv | AT vimalugin testingofcyclicstructuralchangesinswitchingregimevectorautoregressivemodels |