title: Algorithm of variance estimation in weighted least squares method
metadata.name: dc.contributor.author
metadata.value: Prasolov, Aleksander V.
metadata.lang: -
metadata.name: dc.contributor.author
metadata.value: Ivanov, Nikita G.
metadata.lang: -
metadata.name: dc.contributor.author
metadata.value: Smirnov, Nikolay V.
metadata.lang: -
metadata.name: dc.date.accessioned
metadata.value: 2024-02-19T13:34:12Z
metadata.lang: -
metadata.name: dc.date.available
metadata.value: 2024-02-19T13:34:12Z
metadata.lang: -
metadata.name: dc.date.issued
metadata.value: 2023-12
metadata.lang: -
metadata.name: dc.identifier.citation
metadata.value: Prasolov A. V., Ivanov N. G., Smirnov N. V. Algorithm of variance estimation in weighted least squares method. Vestnik of Saint Petersburg University. Applied Mathematics. Computer Science. Control Processes, 2023, vol. 19, iss. 4, pp. 484–496. https://doi.org/10.21638/11701/spbu10.2023.405 (In Russian)
metadata.lang: en_GB
metadata.name: dc.identifier.other
metadata.value: https://doi.org/10.21638/11701/spbu10.2023.405
metadata.lang: -
metadata.name: dc.identifier.uri
metadata.value: http://hdl.handle.net/11701/44906
metadata.lang: -
metadata.name: dc.description.abstract
metadata.value: The representation of a time series model as a piecewise-stationary process is provided,
  wherein it is regarded as a collection of successive stationary intervals. An algorithm has been
  developed for identifying the domain containing the trend within this model. It is recognized
  that applying the least squares method directly for trend determination is not commonly
  employed in statistical analysis and econometric software packages. Typically, the weighted
  least squares method is utilized to ideally eliminate non-stationarity. The authors presents an
  algorithm for estimating the weight coefficients for this method through piecewise-stationary
  modeling. The algorithm has been tested on time series of various natures.
metadata.lang: en_GB
metadata.name: dc.description.sponsorship
metadata.value: This work was supported by the Russian Foundation for Basic Research (project N 20-31-90063).
metadata.lang: en_GB
metadata.name: dc.language.iso
metadata.value: ru
metadata.lang: en_GB
metadata.name: dc.publisher
metadata.value: St Petersburg State University
metadata.lang: en_GB
metadata.name: dc.relation.ispartofseries
metadata.value: Vestnik of St Petersburg University. Applied Mathematics. Computer Science. Control Processes;Volume 19; Issue 4
metadata.lang: -
metadata.name: dc.subject
metadata.value: time series
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: piecewise-stationary process
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: weighted least squares method
metadata.lang: en_GB
metadata.name: dc.title
metadata.value: Algorithm of variance estimation in weighted least squares method
metadata.lang: en_GB
metadata.name: dc.type
metadata.value: Article
metadata.lang: en_GB
resources.filename: 05.pdf
resources.url: https://dspace.spbu.ru/bitstream/11701/44906/1/05.pdf
resources.format: Adobe PDF
resources.size: 393,82 kB