Faculty of Natural and Agricultural Sciences
School of Mathematical Sciences
Department of Statistics
Selected Highlights from Research Findings
Time series research activities are focused mainly in the areas of finance, econometrics and industry. An investigation into models and methods used to deal with specific properties of financial time series is carried out.
In the field of econometrics, a study of the memory properties of the forward premium in the South African context is undertaken and tests are developed to establish to which extent purchasing power parity exists between South Africa and its trading partners. Models are proposed for time series with cyclical patterns, such as traffic volume, electricity demand and telecommunication utilization. The role of the statistician in definition, estimation and evaluation of artificial neural network models for time series forecasting is investigated.
Tydreeksnavorsingsaktiwiteite fokus hoofsaaklik op die terreine van finansies, ekonometrie en industrie. ‘n Ondersoek na die modelle en metodes wat gebruik is vir finansiële tydreekse is uitgevoer. Op die terrein van ekonometrie is ‘n studie van geheue-eienskappe van vooruitskatting in die Suid-Afrikaanse konteks is uitgevoer en toetse is ontwikkel om vas stel in watter mate koopkragpariteit bestaan tussen Suid-Afrika en sy handelsvennote. Modelle is voorgestel vir tydreekse met sikliese patrone soos byvoorbeeld verkeersvolume, elektrisiteitsverbruik en gebruik van telekommunikasie. Die rol van die statistikus in die definisie, beraming en evaluering van die kunsmatige neurale netwerk modelle vir tydreeks vooruitskatting is ondersoek.
Contact person: Dr H Boraine.
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