Основной контент книги Increasing the accuracy of macroeconomic time series forecast by incorporating functional and correlational dependencies between them
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Volume 19 pages

2019 year

12+

Increasing the accuracy of macroeconomic time series forecast by incorporating functional and correlational dependencies between them

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The paper presents a parametric approach to forecasting vectors of macroeconomic indicators,which takes into account functional and correlation dependencies between them. It is asserted that this information allows to achieve a steady decrease in their mean-squared forecast error. The paper also provides an algorithm for calculating the general form of the corrected probability density function for each of modelled indicators. In order to prove the efficiency of the proposed method we conduct a rigorous simulation and empirical investigation.

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Age restriction:
12+
Release date on Litres:
15 May 2019
Writing date:
2019
Volume:
19 p.
Total size:
742 КБ
Total number of pages:
19
Copyright holder:
Синергия
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