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JOURNALS // Vestnik Sankt-Peterburgskogo Universiteta. Seriya 10. Prikladnaya Matematika. Informatika. Protsessy Upravleniya // Archive

Vestnik S.-Petersburg Univ. Ser. 10. Prikl. Mat. Inform. Prots. Upr., 2014 Issue 4, Pages 82–96 (Mi vspui218)

Applied mathematics

On guaranteed forecast estimation

A. V. Prasolov, K. A. Zamuraev

St. Petersburg State University, 7/9, Universitetskaya embankment, St. Petersburg, 199034, Russian Federation

Abstract: The paper formulates the problem of time series forecast definition with a given probability (guarantee). Two approaches to the task solution are offered. The first method is based on forecasting by a time-variant regression and a relevant histogram. The second method consists of preliminary calculation of a new time series of some statistics and creation of their forecast. The methods offered are used to determine the guaranteed characteristics of Brent oil price in 2013 year and to make a long-term forecast for 2014–2016 years. Bibliogr. 12. Il. 10.

Keywords: time series, regression, forecast with guarantee, estimation by histogram, Brent oil price.

UDC: 519.254

Received: June 26, 2014

Language: English



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