A NEW TIME SERIES ROBUST FORECASTING APPROACH WITH APPLICATION IN FINANCE

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SHAHRIYARI H.; SHARIATI N.; MOSLEMI A.

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2012 | Volume:5 | Issue:15 Page(s): 97-114

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Information Journal Paper

Title

A NEW TIME SERIES ROBUST FORECASTING APPROACH WITH APPLICATION IN FINANCE

Author(s)

SHAHRIYARI H. | SHARIATI N. | MOSLEMI A. | Issue Writer Certificate

Keywords

TIMES SERIESQ2

AUTOREGRESSIVE MODELQ4

OUTLIERSQ4

ROBUST ESTIMATIONQ4

FINANCIAL DATAQ4

Abstract

To obtain reliable model for auto correlated and time series data, robust approach should be considered because OUTLIERS and contaminations can have bad effect on parameter estimation of these models. Since most finance data are auto correlated and they are affected by the previous data, they can be modeled by time series regression models. In this paper, the autoregressive (AR) model is investigated and novel robust procedure based on filtered S-estimator is proposed to estimate the parameters of AR model. This model is used to obtain robust forecasting procedure. We present 148 data gathered from a firm which are related to profit as a numerical example and show the efficiency of the proposed estimation approach. The robust model can forecast more accurate than classical model in presence of outlier.

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APA: Copy

SHAHRIYARI, H., SHARIATI, N., & MOSLEMI, A.. (2012). A NEW TIME SERIES ROBUST FORECASTING APPROACH WITH APPLICATION IN FINANCE. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 5(15), 97-114. SID. https://sid.ir/paper/200340/en

Vancouver: Copy

SHAHRIYARI H., SHARIATI N., MOSLEMI A.. A NEW TIME SERIES ROBUST FORECASTING APPROACH WITH APPLICATION IN FINANCE. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2012;5(15):97-114. Available from: https://sid.ir/paper/200340/en

IEEE: Copy

H. SHAHRIYARI, N. SHARIATI, and A. MOSLEMI, “A NEW TIME SERIES ROBUST FORECASTING APPROACH WITH APPLICATION IN FINANCE,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 5, no. 15, pp. 97–114, 2012, [Online]. Available: https://sid.ir/paper/200340/en

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