The Application of Random Noise Reduction By Nearest Neighbor Method To Forecasting of Economic Time Series

Miśkiewicz-Nawrocka, Monika

doi:10.2478/foli-2013-0020

Author

Miśkiewicz-Nawrocka Monika (University of Economics in Katowice, Poland)

Title

The Application of Random Noise Reduction By Nearest Neighbor Method To Forecasting of Economic Time Series

Source

Folia Oeconomica Stetinensia, 2013, vol. 13, nr 2, s. 96-109, tab., bibliogr. 12 poz.

Keyword

Wykładniki Lapunowa, Chaos deterministyczny, Szeregi czasowe
Lyapunov exponents, Deterministic chaos, Time-series

Note

summ.

Abstract

Since the deterministic chaos appeared in the literature, we have observed a huge increase in interest in nonlinear dynamic systems theory among researchers, which has led to the creation of new methods of time series prediction, e.g. the largest Lyapunov exponent method and the nearest neighbor method. Real time series are usually disturbed by random noise, which can complicate the problem of forecasting of time series. Since the presence of noise in the data can significantly affect the quality of forecasts, the aim of the paper will be to evaluate the accuracy of predicting the time series filtered using the nearest neighbor method. The test will be conducted on the basis of selected financial time series.(original abstract)

Accessibility

The Library of University of Economics in Katowice
The Main Library of Poznań University of Economics and Business
The Main Library of the Wroclaw University of Economics

Full text

Bibliography

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Cited by

ISSN

1730-4237

Language

eng

URI / DOI

BazEkon - The Main Library of the Cracow University of Economics

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