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Cumhuriyet Science JournalThe research delved into analysing the stochastic characteristics of Nigeria's Real GDP, the exchange rate of the Naira to US Dollar, and the inflation rate employing Autoregressive fractionally integrated moving average (ARFIMA) and the Autoregressive ...
Ayoade Adewole
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IDENTIFICACIÓN DE MODELOS ARFIMA
Revista de la Facultad de Ciencias, 2016 Desde la introducción de los modelos fraccionalmente integrados ARFIMA para series de tiempo con memoria larga, ha surgido un gran interés en el estudio de sus propiedades y áreas de aplicación.
Elkin Castaño-Vëlez
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Forecasting realised volatility using ARFIMA and HAR models [PDF]
Quantitative Finance, 2019 Recent literature provides mixed empirical evidence with respect to the forecasting performance of ARFIMA and HAR models. This paper compares the forecasting performance of both models using high frequency data of 100 stocks representing 10 business sectors for the period 2000-2010.
M Kabir Hassan +2 more
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التنبؤ باستخدام نموذج الانحدار الذاتي والمتوسطات المتحركة التكاملية الكسرية ARFIMA (p, d, q) : دراسة تطبيقية [PDF]
المجلة العلمية للدراسات والبحوث المالية والتجارية, 2023 تم في هذا البحث دراسة وعرض خطوات تحليل السلاسل الزمنية باستخدام نموذج الانحدار الذاتي والمتوسطات المتحركة التكاملية الكسرية "نموذج السلاسل الزمنية ذات الذاكرة الطويلة" ARFIMA (p, d, q).
أمال عبد الغني +1 more
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ARFIMA Model for Short Term Forecasting of New Death Cases COVID-19 [PDF]
E3S Web of Conferences, 2020 COVID-19 is an infectious disease that can spread from one person to another and has a high potential for death. The infection of COVID-19 is spreading massive and fast that causes the extreme fluctuating data spread and long memory effects.
Kartikasari Puspita +2 more
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Frontiers in Applied Mathematics and Statistics, 2022 IntroductionThe price of crude oil as an essential commodity in the world economy shows a pattern and identifies the component factors that influence it in the short and long term.
Dodi Devianto +4 more
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BOOTSTRAP ASSISTED SPECIFICATION TESTS FOR THE ARFIMA MODEL [PDF]
Econometric Theory, 2011 This paper proposes bootstrap assisted specification tests for the autoregressive fractionally integrated moving average model based on the BartlettTp-process with estimated parameters whose limiting distribution under the null depends on the estimated model and the estimation method employed.
Delgado, Miguel A. +2 more
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Fractional differencing in stock market price and online presence of global tourist corporations [PDF]
Journal of Economics Finance and Administrative Science, 2019 Purpose - This work aims to explore the behavior of stock market prices according to the autoregressive fractional differencing integrated moving average model.
Francisco Flores-Muñoz +2 more
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Minimum distance estimation of ARFIMA processes
Computational Statistics & Data Analysis, 2013 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Zevallos, M., Palma M., Wilfredo
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Stochastic Inequalities for the Run Length of the EWMA Chart for Long-Memory Processes
Revstat Statistical Journal, 2019 In this paper the properties of the modified EWMA control chart for detecting changes in the mean of an ARFIMA process are discussed. The central question is related to the false alarm probability and its behavior for different autocorrelation ...
Yarema Okhrin , Wolfgang Schmid
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