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Abstract
Optimal weighted mean estimation in regime switching time series models. Abstract
,
: Eight International Conference on Fuzzy Sets Theory and Applications, p. 63-64 , Eds: Klement P.E., Mesiar R., Drobná E., Chovanec F.
: FSTA 2006 /8./, (Liptovský Ján, SK, 30.01.2006-03.02.2006)
: CEZ:AV0Z10750506
: GA402/04/1026, GA ČR
: time series, regime-switching model, aggregation operator, weighted mean
(eng): The method of construction of regime-switching models based on combinations of shape functions with aggregation operators is considered. Optimal number of imputs and optimal weight values (which exhibit superior in-sample as well as out-of-sample fitting performance) are determined.
: 12A
: BA