Abstract: In presented work the further development of Box-Jenkins? technique for models constructing and improvement of themselves ARIMA models is produced. A novel autoregressive – spectral integrated moving average (ARSIMA) model founded on joint use of the Box-Jenkins? method (ARIMA models) and "Caterpillar"-SSA method with model trained on competitive base is developed.

Keywords: modeling, filtering, forecasting, control, "Caterpillar»-SSA method, ARIMA model, "Caterpillar»-SSA – ARIMA – SIGARCH method, ARSIMA model, ARSIMA – SIGARCH model, heteroskedasticity, Levenberg- Marquardt method.

Link:

ARSIMA MODEL

Vitalii Shchelkalin

http://foibg.com/ibs_isc/ibs-23/ibs-23-p06.pdf