WSEAS Transactions on Mathematics


Print ISSN: 1109-2769
E-ISSN: 2224-2880

Volume 18, 2019

Notice: As of 2014 and for the forthcoming years, the publication frequency/periodicity of WSEAS Journals is adapted to the 'continuously updated' model. What this means is that instead of being separated into issues, new papers will be added on a continuous basis, allowing a more regular flow and shorter publication times. The papers will appear in reverse order, therefore the most recent one will be on top.


Volume 18, 2019



A Model for Generating Intravalues of Time Series

AUTHORS: Apostolos Leros, Athina Bougioukou, Theodoros Maris

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This paper presents a model for generating intravalues of time-series. The model uses a mean reverting stochastic process (MRSP). The deterministic or mean part of the process is forecasted by an autoregressive of order n, AR(n), model. The unobservable AR(n) coefficients are calculated by a Kalman Filter using n time series observations. The stochastic part of the process is a Brownian motion multiplied by a volatility term. Measures of the Kalman filter covariance matrix along with the process itself are used to capture the volatility dynamics for the intravalues of the time-series. The MRSP model also provides for the evolution of the intravalues of the time series. Experimental results are presented demonstrating the applicability of the model using daily data from the Dow Jones Industrial Average (DJIA) time series.

KEYWORDS: -Mean reverting process, Autoregressive model, Kalman filter, time-series intravalues

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WSEAS Transactions on Mathematics, ISSN / E-ISSN: 1109-2769 / 2224-2880, Volume 18, 2019, Art. #42, pp. 339-350


Copyright Β© 2018 Author(s) retain the copyright of this article. This article is published under the terms of the Creative Commons Attribution License 4.0

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