in this paper, we propose a new residual analysis method using fourier series transform into fuzzy time series model for improving the forecasting performance. this hybrid model takes advantage of the high predictable power of fuzzy time series model and fourier series transform to fit the estimated residuals into frequency spectra, select the low-frequency terms, filter out high-frequency term...

When one would like to describe the relations between multivariate time series, the concepts of dependence and causality are of importance. These concepts also appear to be useful when one is describing the properties of an engineering or econometric model. Although the measures of dependence and causality under stationary assumption are well established, empirical studies show that these measu...

There are recent evidence that air transport demand may not have a perfectly reversible relationship with income and jet fuel prices, as is assumed in most demand models. However, it is not known if the imperfectly reversible effects of jet fuel price are a result of asymmetries in the supply side, i.e. asymmetries in cost pass through from fuel prices to air fare, or of demand side behavioural...

Russia is experiencing steady population decline. One of the reasons for this is low fertility. The other major problem is insufficient housing availability. In today’s political discussion, these two problems are often presented as interconnected. The aim of our research is to analyse the relationship between fertility dynamics and provision of housing in Russia in order to subsequently assess...

The various scales of a signal maintain relations of dependence the ones with the others. Those can vary in time and reveal speed changes in the studied phenomenon. In the goal to establish these changes, one shall compute first the wavelet transform of a signal, on various scales. Then one shall study the statistical dependences between these transforms thanks to an estimator of mutual informa...

In the Summer of 2008 we have upgraded STAMP to version 8.10 which is the current release version. The new items in version 8.10 are relatively small. The forecasting dialog allows the forecasting of the unobserved components as well as the future observations. More importantly, various errors have been removed from the program and some improvements have been introduced. Most notably, the batch...

Time series and their methods of analysis are important subjects in statistics. Most of time series have a linear behavior and can be modelled by linear ARIMA models. However, some of realized time series have a nonlinear behavior and for modelling them one needs nonlinear models. For this, many good parametric nonlinear models such as bilinear model, exponential autoregressive model, threshold...