2022
DOI: 10.1002/for.2935
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A hybrid prediction model with time‐varying gain tracking differentiator in Taylor expansion: Evidence from precious metals

Abstract: In this paper, we propose a modified hybrid prediction model to capture both linear and nonlinear patterns in time‐series data by incorporating autoregressive integrated moving average (ARIMA) models and Taylor expansions. We introduce a time‐varying gain in the tracking differentiator to reduce the peaking value that occurs in a constant high‐gain design. The models are tested with gold and silver futures prices. The results show that the hybrid model with time‐varying high gain tracking differentiator outper… Show more

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Cited by 1 publication
(2 citation statements)
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“…The algorithm then uses this model to predict the object’s place in the next frame and update the object’s position accordingly. This approach is efficient and robust to small changes in the object’s motion ( Luo et al, 2022 ).…”
Section: Methodsmentioning
confidence: 99%
See 1 more Smart Citation
“…The algorithm then uses this model to predict the object’s place in the next frame and update the object’s position accordingly. This approach is efficient and robust to small changes in the object’s motion ( Luo et al, 2022 ).…”
Section: Methodsmentioning
confidence: 99%
“…On the other hand, if the object’s motion is known to be non-smooth, the compressive tracking algorithm may be more appropriate. Combining both algorithms achieves more accurate and optimized results ( Luo et al, 2022 ).…”
Section: Methodsmentioning
confidence: 99%