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- W189280425 abstract "Nonlinear modelling and prediction are discussed along the stream of using multivariate time series or multiple time series effectively. Time-delay embedding method for multivariate time series is described. Identification of relationships between variables is explored based on multivariate time series. Prediction from multivariate time series is compared with that from univariate time series. It is found that better prediction can be achieved using multivariate time series than using univariate time series. Two sets of financial time series axe tested to demonstrate applications of using multivariate time series, where the local linear method is used in fitting all models." @default.
- W189280425 created "2016-06-24" @default.
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- W189280425 date "2002-01-01" @default.
- W189280425 modified "2023-09-27" @default.
- W189280425 title "Nonlinear Modelling and Prediction of Multivariate Financial Time Series" @default.
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- W189280425 doi "https://doi.org/10.1007/978-1-4615-0931-8_10" @default.
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