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Выделение Сезонных Колебаний На Основе Вариационных Принципов

Author

Listed:
  • Губанов В.А.
  • Ковальджи А.К.

Abstract

Рассматривается непараметрическая процедура для выделения "сезонных волн" (циклов) из произвольных временных рядов, основанная на вариационных принципах. В исходной постановке задача некорректна по А.Н.Тихонову. Предложенная регуляризация выделяет класс решений, для которых задача становится корректной. Показано, что наличие особенностей в исходной реализации приводит к "зашумлению" тренда. Оценена точность восстановления "сезонной волны" в зависимости от параметров ряда. Приводятся численные результаты для модельных рядов и ряда макроэкономических показателей.

Suggested Citation

  • Губанов В.А. & Ковальджи А.К., 2001. "Выделение Сезонных Колебаний На Основе Вариационных Принципов," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 37(1), январь.
    • Handle: RePEc:scn:cememm:37-1-9
    Note: Москва
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