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

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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)

Cites Work

• Time series: theory and methods.
• Regression-Type Estimation of the Parameters of Stable Laws
• Time series forecasting using a hybrid ARIMA and neural network model
• Stable Paretian models in finance
• Introduction to Time Series and Forecasting
• Parameter estimation for ARMA models with infinite variance innovations
• Title not available (Why is that?)
• Alpha-stable paradigm in financial markets
• Title not available (Why is that?)
• A method for fitting stable autoregressive models using the autocovariation function
• The modified Yule-Walker method for \(\alpha\)-stable time series models

Cited In (1)

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

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