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Description
  • Článek prezentuje modelování a predikci časové řady se sezónní, trendovou a stochastickou složkou pomocí statistické rozkladové metodologie a modelování pomocí stavově-prostorové reprezentace s Kalmanovými rekurzivními procedurami. V článku je srovnávána aproximační a predikční (prognózy ex-post) přesnost obou metodologií. Ukázalo se, že stavová-prostorová reprezentace modelu má kvalitativně lepší predikční vlastnosti než modely založené na klasické statistické, příp. ekonometrické metodologii. (cs)
  • Lots of econometric models discussed in the literature are the models that contain trend and error components only. We now present the method seldom used for modelling trend (deterministic component), seasonal and error component using the dynamic models in state-space form. Model parameters are time varying Their development is estimated adaptively by the Kalman recursions. In recent years quantitative systems based on the state-space representation have been used. Based on the fact that economic and financial time series of quarterly and monthly or high frequency data contain seasonality, we do not take the seasonality into account, because the econometric model and forecasting method become only second best. A widely used method to incorporate the seasonality into the econometric models is the approach known as the decomposition method.
  • Lots of econometric models discussed in the literature are the models that contain trend and error components only. We now present the method seldom used for modelling trend (deterministic component), seasonal and error component using the dynamic models in state-space form. Model parameters are time varying Their development is estimated adaptively by the Kalman recursions. In recent years quantitative systems based on the state-space representation have been used. Based on the fact that economic and financial time series of quarterly and monthly or high frequency data contain seasonality, we do not take the seasonality into account, because the econometric model and forecasting method become only second best. A widely used method to incorporate the seasonality into the econometric models is the approach known as the decomposition method. (en)
Title
  • Statistické, ekonometrické modely a modely založené na stavové formě pro úspory domácností (cs)
  • Seasonality modelling of time and savings deposits of households by state-space models
  • Seasonality modelling of time and savings deposits of households by state-space models (en)
skos:prefLabel
  • Statistické, ekonometrické modely a modely založené na stavové formě pro úspory domácností (cs)
  • Seasonality modelling of time and savings deposits of households by state-space models
  • Seasonality modelling of time and savings deposits of households by state-space models (en)
skos:notation
  • RIV/47813059:19240/01:#0001862!RIV09-MSM-19240___
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • S
http://linked.open...iv/cisloPeriodika
  • 49
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
  • 695342
http://linked.open...ai/riv/idVysledku
  • RIV/47813059:19240/01:#0001862
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • econometric models; state-space model (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...odStatuVydavatele
  • SK - Slovenská republika
http://linked.open...ontrolniKodProRIV
  • [14F5351A7FED]
http://linked.open...i/riv/nazevZdroje
  • EKONOMICKY CASOPIS
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...UplatneniVysledku
http://linked.open...v/svazekPeriodika
  • 2001
http://linked.open...iv/tvurceVysledku
  • Marček, Dušan
issn
  • 0013-3035
number of pages
http://localhost/t...ganizacniJednotka
  • 19240
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