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Autoregressive Model Order Determination

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Intelligent Systems and Applications (IntelliSys 2018)

Part of the book series: Advances in Intelligent Systems and Computing ((AISC,volume 869))

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Abstract

Here investigation of some approaches for model order identification in the autoregressive model is presented for univariate time series prediction. The approaches are implemented in a software library used for the sake of financial predictions. The results for some real financial series using the considered alternative approaches are summarized and conclusions are presented for their applicability.

This work is supported by Eurorisk Systems Ltd.

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Author information

Authors and Affiliations

  1. Eurorisk Systems Ltd., Varna, Bulgaria

    Ventsislav Nikolov

Authors
  1. Ventsislav Nikolov
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Correspondence to Ventsislav Nikolov .

Editor information

Editors and Affiliations

  1. Faculty of Science and Engineering, Saga University, Saga, Japan

    Kohei Arai

  2. The Science and Information (SAI) Organization, Bradford, UK

    Supriya Kapoor

  3. The Science and Information (SAI) Organization, Bradford, UK

    Rahul Bhatia

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Nikolov, V. (2019). Autoregressive Model Order Determination. In: Arai, K., Kapoor, S., Bhatia, R. (eds) Intelligent Systems and Applications. IntelliSys 2018. Advances in Intelligent Systems and Computing, vol 869. Springer, Cham. https://doi.org/10.1007/978-3-030-01057-7_45

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