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Procesos gaussianos en la predicción de las fluctuaciones de la economía mexicana

Author

Listed:
  • García, Irene

    (Departamento de Cómputo Científico y Estadística Universidad Simón Bolívar, Venezuela)

  • Trigo, Loren

    (ProAlea International Consultants Inc., La Florida, Caracas)

  • Costanzo, Sabatino

    (Viceprecidencia de Estrategia e Investigación, Grupo de Empresas Econoinvest e Instituto de Estudios Superiores de Administración, Caracas)

  • Horst, Enrique ter

    (Profesor asociado, Euromed Management, Marsella e Instituto de Estudios Superiores de Administración, Caracas)

Abstract

The ability of some neural nets to predict the direction of the Mexican economy —represented by its LEI— when taking as inputs the simultaneous versions (smooth- ing and predictive) of a Gaussian Process fed with a Stock Index and a Bonds Index representing the Mexican market, is favorably compared —through the Anatolyev and Gerko predictive accuracy test— with the predictive ability of nets developed for a similar purpose by the authors in a previous paper, and whose inputs are the lagged indexes of the Mexican capital markets and some of their moving averages.// La capacidad de algunas redes neuronales para predecir la dirección de la economía de México —representada por el LEI— cuyos insumos son las versiones simultáneas (suavizante y predictiva) de un proceso gaussiano alimentado por un índice de acciones y uno de bonos —ambos representativos del mercado mexicano—, es comparada favorablemente (por medio del método de Anatolyev y Gerko para evaluar la precisión de un predictor), con la capacidad predictiva de redes desarrolladas para el mismo fin por dos de los autores de este artículo en uno anterior, cuyos insumos son rezagos de dichos índices.

Suggested Citation

  • García, Irene & Trigo, Loren & Costanzo, Sabatino & Horst, Enrique ter, 2010. "Procesos gaussianos en la predicción de las fluctuaciones de la economía mexicana," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(307), pages 585-603, julio-sep.
  • Handle: RePEc:elt:journl:v:77:y:2010:i:307:p:585-603
    DOI: http://dx.doi.org/10.20430/ete.v77i307.447
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    File URL: http://www.eltrimestreeconomico.com.mx/index.php/te/article/view/447/490
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    More about this item

    Keywords

    redes neuronales; neuronales; predicción; fluctuaciones; economía; mercados; mercados de capitales; procesos gaussianos;

    JEL classification:

    • G - Financial Economics

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