Possible Statistical Comparison of Two Time Series

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23520%2F19%3A43955791" target="_blank" >RIV/49777513:23520/19:43955791 - isvavai.cz</a>

Výsledek na webu

<a href="https://mme2019.ef.jcu.cz/files/conference_proceedings.pdf" target="_blank" >https://mme2019.ef.jcu.cz/files/conference_proceedings.pdf</a>

DOI - Digital Object Identifier

—

Jazyk výsledku

angličtina

Název v původním jazyce

Possible Statistical Comparison of Two Time Series

Popis výsledku v původním jazyce

The most often discussed problem is the comparison of two time series (for example financial or non-financial time series). The proposed approach can be assessed on the base of knowledge of the set of past values and the assumption that there is no significant change in the used probability model. The presented paper is motivated by the approach of positive and quadrant dependence. There is a “power of matching” between two time series, which can be measured (or estimated) in many ways. The problem may occur with their non-stationarity. One solution to this problem can be the quantification of preserving (or not preserving) probability of a monotone relationship. It means the probability that the values of the first time series are increasing and the values of the second time series are also increasing and similarly for consistent decreases. One measure for this quantification is proposed here followed by application on real data sets (Prague Stock Exchange) to estimate the price of one asset depending on the price of another asset.

Název v anglickém jazyce

Possible Statistical Comparison of Two Time Series

Popis výsledku anglicky

The most often discussed problem is the comparison of two time series (for example financial or non-financial time series). The proposed approach can be assessed on the base of knowledge of the set of past values and the assumption that there is no significant change in the used probability model. The presented paper is motivated by the approach of positive and quadrant dependence. There is a “power of matching” between two time series, which can be measured (or estimated) in many ways. The problem may occur with their non-stationarity. One solution to this problem can be the quantification of preserving (or not preserving) probability of a monotone relationship. It means the probability that the values of the first time series are increasing and the values of the second time series are also increasing and similarly for consistent decreases. One measure for this quantification is proposed here followed by application on real data sets (Prague Stock Exchange) to estimate the price of one asset depending on the price of another asset.

Druh

D - Stať ve sborníku

CEP obor

—

OECD FORD obor

10103 - Statistics and probability

Projekt

<a href="/cs/project/LO1506" target="_blank" >LO1506: Podpora udržitelnosti centra NTIS - Nové technologie pro informační společnost</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2019

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

37TH INTERNATIONAL CONFERENCE ON MATHEMATICAL METHODS IN ECONOMICS 2019

ISBN

978-80-7394-760-6

ISSN

—

e-ISSN

—

Počet stran výsledku

6

Strana od-do

191-196

Název nakladatele

University of South Bohemia in České Budějovice, Faculty of Economics

Místo vydání

České Budějovice

Místo konání akce

Ceske Budejovice, CZECH REPUBLIC

Datum konání akce

11. 9. 2019

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000507570400031