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Description
  • Článek popisuje autoregresní model prvního řádu a odhad jeho parametrů s využitím exponenciálního zapomínání, známého z matematické teorie systémů. Využití takového aparátu v ekonometrii není standardem, ačkoliv za předpokladu pomalé změny parametrů v čase může vést k významnému zlepšení kvality predikce ekonomických veličin. V článku je použit Bayesovský přístup k modelování i odhadu parametrů a získané výsledky jsou demonstrovány na jednokrokové predikci eurodolarového kurzu. (cs)
  • The paper deals with a first-order autoregression model with parameter estimation with exponential forgetting, known and well established in the mathematical system theory. However, the use of exponential forgetting in econometry is not a standard. Under the assumption of slow time-variability of model parameters and model stationarity, this estimation method could however lead to significant improvement of the prediction quality. In this paper, we describe the Bayesian approach to such a mo\-del\-ling and parameter estimation. The use of the method is demonstrated on a one-step-ahead prediction of the EUR-USD exchange rate.
  • The paper deals with a first-order autoregression model with parameter estimation with exponential forgetting, known and well established in the mathematical system theory. However, the use of exponential forgetting in econometry is not a standard. Under the assumption of slow time-variability of model parameters and model stationarity, this estimation method could however lead to significant improvement of the prediction quality. In this paper, we describe the Bayesian approach to such a mo\-del\-ling and parameter estimation. The use of the method is demonstrated on a one-step-ahead prediction of the EUR-USD exchange rate. (en)
Title
  • Prediction of Exchange Rates With Autoregressive Model With Exponential Forgetting
  • Predikce směnných kurzů pomocí autoregresního modelu s exponenciálním zapomínáním (cs)
  • Prediction of Exchange Rates With Autoregressive Model With Exponential Forgetting (en)
skos:prefLabel
  • Prediction of Exchange Rates With Autoregressive Model With Exponential Forgetting
  • Predikce směnných kurzů pomocí autoregresního modelu s exponenciálním zapomínáním (cs)
  • Prediction of Exchange Rates With Autoregressive Model With Exponential Forgetting (en)
skos:notation
  • RIV/75081431:_____/08:00000041!RIV09-MSM-75081431
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • V
http://linked.open...iv/cisloPeriodika
  • 2
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 388750
http://linked.open...ai/riv/idVysledku
  • RIV/75081431:_____/08:00000041
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • prediction; estimation; exchange rate; exponential forgetting; regression (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...odStatuVydavatele
  • CZ - Česká republika
http://linked.open...ontrolniKodProRIV
  • [6D00C464FBE3]
http://linked.open...i/riv/nazevZdroje
  • Littera Scripta
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...UplatneniVysledku
http://linked.open...iv/tvurceVysledku
  • Dedecius, Kamil
  • Kalová, Jana
  • Stehel, Vojtěch
issn
  • 1802-503X
number of pages
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