Forecasting of symmetric -stable autoregressive models by time series approach supported by artificial neural networks

DOI10.1016/J.CAM.2022.115051OpenAlexW4315631456MaRDI QIDQ6157935FDOQ6157935

Authors Aastha M. Sathe, N. S. Upadhye, Agnieszka Wyłomańska

Publication date 22 June 2023

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2022.115051

zbMATH Keywords

artificial neural networksforecastingautoregressive modelsymmetric \(\alpha\)-stable distributions

Mathematics Subject Classification ID

Statistics (62-XX) Applications of statistics (62Pxx) Inference from stochastic processes (62Mxx)

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Cites work

• scientific article; zbMATH DE number 1301877 (Why is no real title available?)
• scientific article; zbMATH DE number 1168350 (Why is no real title available?)
• A method for fitting stable autoregressive models using the autocovariation function
• Alpha-stable paradigm in financial markets
• Introduction to Time Series and Forecasting
• Parameter estimation for ARMA models with infinite variance innovations
• Regression-Type Estimation of the Parameters of Stable Laws
• Stable Paretian models in finance
• The modified Yule-Walker method for \(\alpha\)-stable time series models
• Time series forecasting using a hybrid ARIMA and neural network model
• Time series: theory and methods.

Cited in

(1)

• Forecasting multidimensional autoregressive time series model with symmetric \(\alpha\)-stable noise using artificial neural networks

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