Testing the correlation between mean reversion process and grey system theory for metal price forecasting

Correlation Network Evolution Using Mean Reversion Autoregression

In this paper, we present a new method for modeling timeevolving correlation networks, using a Mean Reversion Autoregressive Model, and apply this to stock market data. The work is motivated by the assumption that the price and return of a stock eventually regresses back towards their mean or average. This allows us to model the stock correlation time-series as an autoregressive process with a ...

A Hybrid Intelligent System For Forecasting Gasoline Price

Change Point Testing for the Drift Parameters of a Periodic Mean Reversion Process

The problem of testing for a change in the parameters of a stochastic process has been an important issue in statistical inference for a long time. Initially investigated for i.i.d. data, change point analysis has more recently been extended to time series of dependent data. For a general review of change-point analysis, see e.g. the book by Csörgő and Horvath [4]. In the present paper, we inve...

Grey Prediction Model for Forecasting Electricity consumption

Accurate prediction of the future electricity consumption is crucial for production electricity management. Since the storage of electrical energy is very difficult, reliable and accurate prediction of power consumption is important. Different approaches for this purpose were used. In this paper, Grey model (1,1) based on grey system theory has been used for forecasting results. Annual electric...

price theory

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