Evgeny Agafonov

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In this paper an algorithm of nonstationary time series forecasting, using ensemble of autoregressive models with time-varying structure is described. The technique of recursive splitting is implemented in estimating of non-stationary autoregressive model. The procedure of individual models combining using fuzzy logic controller is defined. The(More)
Many of the analyses of time series that arise in real-life situations require the adoption of various simplifying assumptions so as to cope with the complexity of the phenomena under consideration. Whilst accepting these simplifications lead to heuristics that provide less accurate, compared to the full analytical description, representation of the(More)
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