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Reconfigurable combined forecasts in a non‐stationary inflationary environment
Author(s) -
Volkov V. Ya.,
Gladkov Y. U. M.
Publication year - 1995
Publication title -
journal of forecasting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.543
H-Index - 59
eISSN - 1099-131X
pISSN - 0277-6693
DOI - 10.1002/for.3980140406
Subject(s) - currency , estimator , series (stratigraphy) , econometrics , exponential function , term (time) , computer science , exponential smoothing , exchange rate , moving average , mathematics , economics , statistics , geology , macroeconomics , physics , paleontology , mathematical analysis , quantum mechanics , computer vision
This paper presents a composite method for non‐stationary economic forecasts, incorporating reconfigurable exponential trend extraction and linear combinations of parabolic and spectral estimators for short‐term prediction. The method automatically identifies the points of time series misalignment induced by sharp environmental changes. An application to the problem of hard currency exchange rate prediction in Russia is presented.