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System Identification Based on Stepwise Regression for Dynamic Market Representation
Authors: Alexander Efremov
Abstract:A system for market identification (SMI) is presented. The resulting representations are multivariable dynamic demand models. The market specifics are analyzed. Appropriate models and identification techniques are chosen. Multivariate static and dynamic models are used to represent the market behavior. The steps of the first stage of SMI, named data preprocessing, are mentioned. Next, the second stage, which is the model estimation, is considered in more details. Stepwise linear regression (SWR) is used to determine the significant cross-effects and the orders of the model polynomials. The estimates of the model parameters are obtained by a numerically stable estimator. Real market data is used to analyze SMI performance. The main conclusion is related to the applicability of multivariate dynamic models for representation of market systems.
Digital Object Identifier (DOI): doi.org/10.5281/zenodo.1333804Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1466
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