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Proceedings of the National Academy of Sciences of Belarus. Physics and Mathematics Series

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STATISTICAL ASSIGNMENT OF REALIZATIONS OF NON-STATIONARY TIME SERIES TO THE FIXED TREND MODELS

Abstract

The problem of statistical assignment of realizations of non-stationary time series to the fixed trend models is investigated. The decision rule in a space of trend coefficients determined on the same orthogonal basis is proposed and its efficiency is analytically studied. As an example the case of two alternative trends is studied.
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ISSN 1561-2430 (Print)
ISSN 2524-2415 (Online)