MONTE CARLO AND NUMERICAL METHODS TO SOLVE THE TIME SERIES MODEL

Authors

  • Daniel CIUIU Technical University of Civil Engineering, Bucharest Author

DOI:

https://doi.org/10.62229/aubinf63/67-81

Keywords:

Moving average time series, Monte Carlo, nonlinear system of equations

Abstract

 In this paper we will solve the nonlinear system of equations in the parameters of the time series model by Monte Carlo methods and by numerical methods. When we identify the variance and the inter-covariances of time series, we obtain, dividing by variance, a quadratic nonlinear system of equation that does not contain the variance of wihite noise. We use only the autocorrelation function. AMS Subject Classification: 62M10, 91B84, 65C05.

Author Biography

  • Daniel CIUIU, Technical University of Civil Engineering, Bucharest

    Lecturer Dr., Technical University of Civil Engineering, Bucharest, Center for Macroeconomic Modelling, National Institute for Economic Research ''Costin C. Kiritescu'', Romanian Academy

AUBINF63-18

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Published

2024-06-06

Issue

Vol. 63 No. 1 (2024): ANALELE UNIVERSITĂȚII BUCUREȘTI. INFORMATICĂ

Section

Articles