FORECASTING IMPORT OF NATURAL GAS INTO UKRAINE USING KALMAN FILTER
Abstract
The paper considers solution of the problem of short-term forecasting for import of natural gas into Ukraine. The main purpose of the study is constructing of high quality model for forecasting the process of import of natural gas and application of Kalman filter for computing optimal estimates of states for the process under investigation. Different algorithms of optimal adaptive Kalman filter were applied for computing the state of the import process that suppose repetitive computing of measurement errors covariances using moving data windows. The basic results of the study are as follows: regression models for the process of import of natural gas and estimates of short-term forecasts based on adaptive Kalman filter with moving window for computing measurement errors covariances. Thus, on the basis of statistical data an adequate model was constructed for the process under study with Kalman filter application that provided estimation of high quality forecasts for window size of three samples.
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