  A new general procedure for a priori selection of more predictable events
from a time series of observed variable is proposed. The procedure is
applicable to time series which contains different types of events that feature
significantly different predictability, or, in other words, to heteroskedastic
time series. A priori selection of future events in accordance to expected
uncertainty of their forecasts may be helpful for making practical decisions.
The procedure first implies creation of two neural network based forecasting
models, one of which is aimed at prediction of conditional mean and other -
conditional dispersion, and then elaboration of the rule for future event
selection into groups of more and less predictable events. The method is
demonstrated and tested by the example of the computer generated time series,
and then applied to the real world time series, Dow Jones Industrial Average
index.
