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.
About the Author
E. E. Zhuk
Belarusian State University
Belarus
D. Sc. (Physics and Mathematics), Professor, Professor of the Department of Mathematical Modeling and Data Analysis, Faculty of Applied Mathematics and Computer Science
Belarus
D. Sc. (Physics and Mathematics), Professor, Professor of the Department of Mathematical Modeling and Data Analysis, Faculty of Applied Mathematics and Computer Science
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