Archivio Istituzionale della RicercaIn this paper we consider the problem of modelling observed data using a class of multivariate models with unknown-but-bounded (ubb) noise and uncertainty. Standard ARX models with additive and multiplicative bounded noise belong to the considered class, as well as the deterministic counterpart of ARCH models extensively used in econometrics. We outline a method to fit these models based on historical data, and discuss the issues of set-valued forecasting.
Bounded Uncertainty Models in Finance: Parameter Estimation and Forecasting / L., EL GHAOUI; Calafiore, Giuseppe Carlo. - STAMPA. - (2002). (Intervento presentato al convegno 15th IFAC World Congress tenutosi a Barcelona, Spain nel 21-26 Jul 2002) [10.3182/20020721-6-ES-1901.00413].
Bounded Uncertainty Models in Finance: Parameter Estimation and Forecasting
CALAFIORE, Giuseppe Carlo
2002
Abstract
In this paper we consider the problem of modelling observed data using a class of multivariate models with unknown-but-bounded (ubb) noise and uncertainty. Standard ARX models with additive and multiplicative bounded noise belong to the considered class, as well as the deterministic counterpart of ARCH models extensively used in econometrics. We outline a method to fit these models based on historical data, and discuss the issues of set-valued forecasting.
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https://hdl.handle.net/11583/1408982
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