Some model of stochastic prediction

• Autorzy: Tylutki B. , Wesołowska M.
• Języki publikacji: EN

Abstrakty

EN

This article presents a method of the stochastic prediction, more exactly the method of estimating of the covariance function of the stochastic process that is stationary in a wider sense. The reason for doing this is that the covariance function is necessary for prediction.

Słowa kluczowe

EN

stationary stochastic process; stochastic prediction; least squares method

PL

proces stochastyczny; metoda najmniejszych kwadratów

• Wydawca: Oficyna Wydawnicza Politechniki Rzeszowskiej
• Czasopismo: Journal of Mathematics and Applications
• Rocznik: 2011
• Tom: Vol. 34
• Strony: 117--123
• Opis fizyczny: Bibliogr. 5 poz.

Twórcy

autor

Tylutki B.

• Zespół Szkół nr 1 ul. Towarnickiego 4, 35-010 Rzeszów
• Department of Econimics, SGGW, ul. Nowoursynowska 166, 02-787 Warszawa, Poland

autor

Wesołowska M.

• Department of Applied Informatic and Mathematics, Faculty of Applied Informatic and Mathematics, SGGW ul. Nowoursynowska 159, 02-776 Warszawa, Poland

Bibliografia

• [1] J. Baz, G. Chacko, Financial Derivatives: Pricing, Applications and Mathematics, Cambridge University Press, 2004.
• [2] P. Billingsley, Probability and Measure, John Wiley and Sons, Inc., 1995.
• [3] G. Box, G. Jenkins, Time Series Analysis, Forecasting and Control, San Francisco Holden-Day, 1976.
• [4] P.J. Brokwell, R.A. Davis, Introduction to Time Series and Forecasting, Springer, Berlin 2002.
• [5] K. Urbanik, Lectures on prediction theory, Lecture Notes in Mathematics 44, Springer-Verlag, Berlin 1967.