Study of forecasting system for financial economic data

点击翻译按钮获取中文摘要

In this study, I developed a time series forecasting system for financial economic data from given data sets. Separating Information Maximum Likelihood method was used for robust estimating in the first step, then I utilized Vector Autoregressive models for the predicting models which are optimal in the sense of AIC. It is very important for "Big data" era that this system can be applied for large scaled data. A new knowledge discovery is expected when this method is applied for various economic data and business data.