Generalize weighted in interval data for fitting a vector autoregressive model

Generalize weighted in interval data for fitting a vector autoregressive model

© Springer International Publishing AG 2018. This paper employ VAR model to analyse and investigate the relationship among oil, gold, and rubber prices. A convex combination approach is proposed to obtain appropriate value of the interval data in VAR model. The construction of interval VAR model bas...

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Main Authors: Teerawut Teetranont, Woraphon Yamaka, Songsak Sriboonchitta
Format: Book Series
Published: 2018
Subjects:
Computer Science
Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85037821108&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/58539
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Institution: Chiang Mai University
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spelling th-cmuir.6653943832-585392018-09-05T04:26:03Z Generalize weighted in interval data for fitting a vector autoregressive model Teerawut Teetranont Woraphon Yamaka Songsak Sriboonchitta Computer Science © Springer International Publishing AG 2018. This paper employ VAR model to analyse and investigate the relationship among oil, gold, and rubber prices. A convex combination approach is proposed to obtain appropriate value of the interval data in VAR model. The construction of interval VAR model based on the convex combination method for the analysis of their forecast performance are also introduced and discussed via the simulation study, as well as comparing the performance with conventional center method. To illustrate the usefulness of the proposed model, an empirical application on a weekly sample of commodity price is provided. The results show the performance of our proposed model and also provide some relationship between commodity prices. 2018-09-05T04:26:03Z 2018-09-05T04:26:03Z 2018-01-01 Book Series 1860949X 2-s2.0-85037821108 10.1007/978-3-319-70942-0_43 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85037821108&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/58539
institution Chiang Mai University
building Chiang Mai University Library
country Thailand
collection CMU Intellectual Repository
topic Computer Science
spellingShingle Computer Science
Teerawut Teetranont
Woraphon Yamaka
Songsak Sriboonchitta
Generalize weighted in interval data for fitting a vector autoregressive model
description © Springer International Publishing AG 2018. This paper employ VAR model to analyse and investigate the relationship among oil, gold, and rubber prices. A convex combination approach is proposed to obtain appropriate value of the interval data in VAR model. The construction of interval VAR model based on the convex combination method for the analysis of their forecast performance are also introduced and discussed via the simulation study, as well as comparing the performance with conventional center method. To illustrate the usefulness of the proposed model, an empirical application on a weekly sample of commodity price is provided. The results show the performance of our proposed model and also provide some relationship between commodity prices.
format Book Series
author Teerawut Teetranont
Woraphon Yamaka
Songsak Sriboonchitta
author_facet Teerawut Teetranont
Woraphon Yamaka
Songsak Sriboonchitta
author_sort Teerawut Teetranont
title Generalize weighted in interval data for fitting a vector autoregressive model
title_short Generalize weighted in interval data for fitting a vector autoregressive model
title_full Generalize weighted in interval data for fitting a vector autoregressive model
title_fullStr Generalize weighted in interval data for fitting a vector autoregressive model
title_full_unstemmed Generalize weighted in interval data for fitting a vector autoregressive model
title_sort generalize weighted in interval data for fitting a vector autoregressive model
publishDate 2018
url https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85037821108&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/58539
_version_ 1681425084292530176

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