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JOURNALS // Problemy Upravleniya // Archive

Probl. Upr., 2003 Issue 4, Pages 23–29 (Mi pu581)

This article is cited in 4 papers

System analysis and data processing

Analysis and on-line diagnostics of the systems described as nonstationary stochastic processes

E. A. Grebenuk

Institute of Control Sciences, Russian Academy of Sciences

Abstract: The problem of detecting the changes in the properties of cointegrated nonstationary processes is discussed. A cumulative sum algorithm is offered for detecting the cointegration loss. The effectiveness of the approach proposed is demonstrated with the solution to the problem of analyzing a group of Russian market indices described as nonstationary time series.

UDC: 519.27



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