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Seasonal and trend time series forecasting based on a quasi-linear autoregressive model

✍ Scribed by Gan, Min; Cheng, Yu; Liu, Kai; Zhang, Gang-lin


Book ID
125827752
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
569 KB
Volume
24
Category
Article
ISSN
1568-4946

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In this paper, we consider the price trend model in which it is assumed that the time series of a security's prices contain a stochastic trend component which remains constant on each of a sequence of time intervals, with each interval having random duration. A quasi-maximum likelihood method is use