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Some modern directions of the statistical analysis and prediction of dynamic series are described. On examples of two real dynamic series, namely, the Ukrainian hrivna rate relative to the US dollar and the Russian rouble for the second half of 1997, we investigate the operation of such prediction methods as the Brown method, the method of exponential smoothing with application of Laguerre orthogonal polynomials and adaptive Kalman filters. The regression model of a process was also constructed for these series, which is later tested for heteroscedasticity. The results of application of these methods and comparison of their potentials are presented.
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Synthesis of standard variable structure systems with time delay