Detection of Jumps Parameters in Economic Processes(the Case of Modelling Profitability)

Abstract

A new method of parameters jumps detection in economic processes is presented. A jump of the economic process parameter must be understood as a rapid parameter change for a time that does not exceed the period of process registration. A system of stochastic differential equations for a posteriori density probability of a jump is synthesized. The solution of the system is the probability of a parameter jump, the estimation and variance of the jump in the presence of a priori information under conditions of noise influence. The simulation results are conducted for profitability of machine building industry of Kharkiv region, Ukraine. The system provides detection of jump parameters, even in conditions of intense noise of economic nature. To increase the probability of finding jumps it is necessary to have a priori information.

Synthesis of the model of the socio-economic system

“…Unfortunately, for such a system there is only a limited set of data. In the presence of rapid changes in the parameters of input signals, it is expedient to use the method developed in [5]. The results , 0 (2019) https://doi.org/10.1051/shsconf /20196706041 67 SHS Web of Conferences NTI-UkrSURT 2019 6041 obtained in mathematical modeling, are qualitatively similar to the results of the study of the measuring pressure channel [6], and the latter are confirmed experimentally.…”