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Nonparametric uncertain time series models: theory and application in brent crude oil spot price analysis

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  • Yi Zhang

    (Renmin University of China)

  • Jinwu Gao

    (Ocean University of China)

Abstract

Uncertain time series models constitute a pivotal tool for analyzing phenomena evolving over time. However, most of the prevailing research centers on parameter models, which exhibit limitations in addressing intricate temporal dynamics. To address this gap, this paper introduces a non-parametric uncertain time series model. Primarily, we propose the definition of the non-parametric uncertain time series models. Subsequently, tailored to the non-parametric uncertain additive autoregressive model, we propose a non-parametric estimation method based on linear polynomial splines. Following this, the effectiveness of these estimations is verified through residual analysis and uncertain hypothesis tests. Finally, we apply the introduced non-parametric estimation approach to the Brent crude oil spot price.

Suggested Citation

  • Yi Zhang & Jinwu Gao, 2024. "Nonparametric uncertain time series models: theory and application in brent crude oil spot price analysis," Fuzzy Optimization and Decision Making, Springer, vol. 23(2), pages 239-252, June.
    • Handle: RePEc:spr:fuzodm:v:23:y:2024:i:2:d:10.1007_s10700-024-09419-9
    DOI: 10.1007/s10700-024-09419-9
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    References listed on IDEAS

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    1. Yang Liu & Baoding Liu, 2022. "Residual analysis and parameter estimation of uncertain differential equations," Fuzzy Optimization and Decision Making, Springer, vol. 21(4), pages 513-530, December.
    2. Tingqing Ye & Baoding Liu, 2022. "Uncertain hypothesis test with application to uncertain regression analysis," Fuzzy Optimization and Decision Making, Springer, vol. 21(2), pages 157-174, June.
    3. Tingqing Ye & Xiangfeng Yang, 2021. "Analysis and prediction of confirmed COVID-19 cases in China with uncertain time series," Fuzzy Optimization and Decision Making, Springer, vol. 20(2), pages 209-228, June.
    4. Liu He & Yuanguo Zhu & Yajing Gu, 2023. "Nonparametric estimation for uncertain differential equations," Fuzzy Optimization and Decision Making, Springer, vol. 22(4), pages 697-715, December.
    5. Xiangfeng Yang & Yaodong Ni, 2021. "Least-squares estimation for uncertain moving average model," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 50(17), pages 4134-4143, August.
    6. Kai Yao & Baoding Liu, 2020. "Parameter estimation in uncertain differential equations," Fuzzy Optimization and Decision Making, Springer, vol. 19(1), pages 1-12, March.
    7. Xiangfeng Yang & Baoding Liu, 2019. "Uncertain time series analysis with imprecise observations," Fuzzy Optimization and Decision Making, Springer, vol. 18(3), pages 263-278, September.
    8. Yang, Xiangfeng & Liu, Yuhan & Park, Gyei-Kark, 2020. "Parameter estimation of uncertain differential equation with application to financial market," Chaos, Solitons & Fractals, Elsevier, vol. 139(C).
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