PARAMETRIC SPECTRAL ANALYSIS PROCESS OF TIME SERIES FLUCTUATION STOCK MARKET PRICES

Vladimir Yakimov, Anton Philimonov

Abstract

To describe a problem of a parametric spectral analyze of a time series fluctuation price process on a stock market. It is used difference-linear equation like the model of the initial data. It’s has been obtained stable results of estimation parameters by stochastic smoothing.

Keywords

ARMA, spectral analyze, time series fluctuation price

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IMEKO-TC1-TC7-2008-033.pdf

DOI

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IMEKO TC

TC1 - Education and Training in Measurement and Instrumentation

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