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A synthesis of statistical and deterministic methods in problem of smoothing for time series

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Abstract

In article the minimization problem of the residual for Euler-MacLaurin formula are solved. The solution is used for determination of parameters of a window of sliding summation in smoothing of time series. Results of numerical experiments are given.

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References

  1. Agranovich, Yu.Ya., Kontsevaya, N.V., and Khatskevich, V.L., Method of Polygonal Numbers in the Procedure of Smoothing the Time Series and Its Application to the Research of Financial Markets Parameters, Ekonom. Mat. Metody, 2010, vol. 46, no. 3, pp. 71–81.

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  2. Agranovich, Yu.Ya., Kontsevaya, N.V., and Khatskevich, V.L., The Smoothing of Financial Markets Indices Time Series with Polygonal Numbers Method, Prikl. Ekonometrika, 2010, vol. 19, no. 3, pp. 3–8.

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  3. Matiyasevich, Yu.V., Alternatives to the Euler-Maclaurin Formula for Calculating Infinite Sums, Mat. Zametki, 2010, vol. 88, no. 4, pp. 543–548.

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Authors and Affiliations

  1. State Technical University, Voronezh, Russia

    Yu. Ya. Agranovich & S. L. Podvalny

  2. Financial University under the Government of the Russian Federation, Moscow, Russia

    N. V. Kontsevaya

  3. Voronezh Division, All-Russian State Distance-Learning Institute of Finance and Economics, Voronezh, Russia

    V. L. Khatskevich

Authors
  1. Yu. Ya. Agranovich
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  2. N. V. Kontsevaya
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  3. S. L. Podvalny
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  4. V. L. Khatskevich
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Corresponding author

Correspondence to S. L. Podvalny.

Additional information

Original Russian Text © Yu.Ya. Agranovich, N.V. Kontsevaya, S.L. Podvalny, V.L. Khatskevich, 2011, published in Sistemy Upravleniya i Informatsionnye Tekhnologii, 2011, No. 4, pp. 4–7.

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Agranovich, Y.Y., Kontsevaya, N.V., Podvalny, S.L. et al. A synthesis of statistical and deterministic methods in problem of smoothing for time series. Autom Remote Control 75, 971–976 (2014). https://doi.org/10.1134/S0005117914050154

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  • DOI: https://doi.org/10.1134/S0005117914050154

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