Econometrics: one step ahead forecast - page 46
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and I don't test her abilities in the static part, i.e. in describing the story.
I don't understand anything. Practice is the criterion of truth. How can you go into the future without checking the past? After all, further checking in the future is a paid check on history. Or did I misunderstand something? What is (18)
I, on the other hand, am still extremely interested in the fields of artificial intelligence and pattern recognition.
This is the central formula from Yusuf's article, on which the whole regression is actually based.
Universal regression model for predicting market price.
Thank you.
I have the impression that it is so to say a sophisticated analogue of my primitive additive model of 6 summands. But there are even more questions about it than about mine, as I have answered some of them. Or am I wrong?
... who is capable of battling me with their theory...
Answer:
Fight the MQL strategy tester first.
EViews has a gamma distribution
Statistical Distribution Functions
The following functions provide access to the density or probability functions, cumulative distribution, quantile functions, and random number generators for a number of standard statistical distributions.
There are four functions associated with each distribution. The first character of each function name identifies the type of function:
Function Type
Beginning of Name
Cumulative distribution (CDF)
@c
Density or probability
@d
Quantile (inverse CDF)
@q
Random number generator
@r
The remainder of the function name identifies the distribution. For example, the functions for the beta distribution are @cbeta , @dbeta , @qbeta and @rbeta .
When used with series arguments, EViews will evaluate the function for each observation in the current sample. As with other functions, NA or invalid inputs will yield NA values. For values outside of the support, the functions will return zero.
If you write down your formula through the above function, together we can try to implement your model and get an estimate.
I remember seeing lines like that somewhere :)
https://www.mql5.com/ru/forum/136555/page32
forecast worked out 79.18! (now where to?)
A week ago, I suggested a plan of action:
2. I suggest that everyone who is interested:
a) discuss these results
b) modernise this model
c) propose their models
.
3. I am ready to implement the results of discussion and modernisation in code and post the results.
Let me remind you of the type of models:
a) For EURUSD on lags: EURUSD = hp(-1 to -4) + hp_d(-1 to -2)
b) For DX:
DXM = 1/DX - we use the inverse of the quotient
EURUSD = DXM_HP(-1 TO -4) + DXM_HP_D(-1 TO -2)
In these formulas HP is the Hedrick-Prescott indicator, and HP_D is the residual = kotir - indicator. The bars in brackets are the bars before the current one, (-1 to -4) means the last 4 bars.
The real equation after evaluating the coefficients under the variables is as follows:
EURUSD = -1552.7613734*DXM_HP(-1) + 4731.89082764*DXM_HP(-2) - 4360.68995095*DXM_HP(-3) + 1287.82064375*DXM_HP(-4) - 98.9244837504*DXM_HP_D(-1) - 131.011472103*DXM_HP_D(-2)
Anyone interested - take part in the econometrics exercise!
Of course, some progress has been made. In any case the discussion of the forecast error was a clear progress, a thing unthinkable for TA apologists.
But it is only the beginning of a journey.
I await manna from avtomat with his state space .
My suggestion to yosuf to run his model continues.
I also assume to clarify the importance of prediction error.