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National Repository of Grey Literature 2 records found  Search took 0.01 seconds. 
Non-standard approaches to financial time series analysis
 Zbyňovský, Tomáš ; Zichová, Jitka (advisor) ; Hurt, Jan (referee)
Standard procedures for parameter estimation in autoregressive models use maximum likelihood method based on normal random error distribution assumption. However, this thesis is focused on non-standard approaches for parameter estimation in non-negative time series based on the assumption of exponential probability distribution. Both standard and non-standard approaches were tested on forex time series and the results summarized in the thesis.
Detailed record
Non-standard approaches to financial time series analysis
 Zbyňovský, Tomáš ; Zichová, Jitka (advisor) ; Hurt, Jan (referee)
Standard procedures for parameter estimation in autoregressive models use maximum likelihood method based on normal random error distribution assumption. However, this thesis is focused on non-standard approaches for parameter estimation in non-negative time series based on the assumption of exponential probability distribution. Both standard and non-standard approaches were tested on forex time series and the results summarized in the thesis.
Detailed record

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