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The paper presents the method of utilisation of multilayer perceptron neural networks to probability densiity function approximation in the problem of time series forecasting. The theoretical background has been given and the specification of neural prediction model, which generates the probability distribution of the forecasted variable in the issue of financial time series predicition, has been...
In this article an alternative method for analysis the integration of time series is proposed. The procedure is appropriate in the presence of outliers and was called 'linearized Dickey-Fuller test'. The method is based on the assumption that the data is generated by some ARIMA (Autoregressive integrated moving average) proces. In the first step, the outliers are identified on the basis of likelihood...
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