تحليل نموذج السلاسل الزمنية المتغايرة الانحدارية الشرطية المعممة الأسية باستخدام الموجات
محتوى المقالة الرئيسي
الملخص
تعد ضوضاء البيانات إحدى المشكلات التي تواجه دقة بناء نماذج السلاسل الزمنية، مثل نموذج EGARCH. في هذه البحث، تم اقتراح معالجة البيانات من الضوضائية لنموذج السلاسل الزمنية غير المتجانسة المشروطة ذات الانحدار الذاتي العام الأسي باستخدام تحليل المويجات من خلال الموجات (Daubechies وCoiflets وSymlets)، مع تحديد قطع العتبة الشاملة وتطبيق قاعدة قطع العتبة الناعمة. تمت مقارنة كفاءة ودقة المعلمات المقدرة لنموذج الانحدار الذاتي العام الأسي (للبيانات غير المعالجة من الضوضاء) مع النماذج الثلاث المقترحة باستخدام معايير المعلومات Akaike وBayesian من خلال دراسة بيانات المحاكاة والبيانات الحقيقية بناءً على برنامج بلغة MATLAB مصمم لهذا الغرض. أظهرت نتائج البحث أن الطرق المقترحة كانت أكثر كفاءة من نموذج الانحدار الذاتي العام الأسي الاعتيادي.
التنزيلات
تفاصيل المقالة
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