Results 181 to 190 of about 7,382 (224)

Efficient estimation method for generalized ARFIMA models

Communications in Statistics - Theory and Methods, 2022
This paper focuses on pretest and shrinkage estimation strategies for generalized autoregressive fractionally integrated moving average (GARFIMA) models when some of the regression parameters are possible to restrict to a subspace.
S. S. Pandher, S. Hossain, K. Budsaba, A. Volodin   +3 more
openaire   +2 more sources

Penerapan Model Arfima-Garch Menggunakan Variasi Estimasi Parameter Pembeda D Pada Data Long Memory

J Statistika, 2023
Emas menjadi salah satu aset keuangan bagi negara dan menjadi komponen cadangan moneter global untuk perdagangan dan perlindungan ketika menghadapi krisis keuangan secara tiba-tiba.
Isran K. Hasan, Muhammad Janur, Nurwan Nurwan   +2 more
semanticscholar   +1 more source

A New Hybrid Model ARFIMA-LSTM Combined with News Sentiment Analysis Model for Stock Market Prediction

2023 Third International Conference on Advances in Electrical, Computing, Communication and Sustainable Technologies (ICAECT), 2023
We have used the advantages of both data-driven and news-driven models and came up with a novel hybrid model. This model combined the data-driven ARFIMA-LSTM with the NEWS SENTIMENT analysis model.
Satyaveer, Prashant Patel, Harish Chandra, Prashant Pal, S. Singh   +4 more
semanticscholar   +1 more source

BAYESIAN ANALYSIS OF VECTOR ARFIMA PROCESSES

Australian Journal of Statistics, 1997
SummaryA general framework is presented for Bayesian inference of multivariate time series exhibiting long‐range dependence. The series are modelled using a vector autoregressive fractionally integrated moving‐average (VARFIMA) process, which can capture both short‐term correlation structure and long‐range dependence characteristics of the individual ...
Ravishanker, Nalini, Ray, Bonnie K.
openaire   +2 more sources

Jeffrey's divergence between ARFIMA processes

Digital Signal Processing, 2018
Abstract The symmetric Kullback–Leibler divergence known as Jeffrey's divergence (JD) has found applications in signal and image processing, from radar clutter modeling to texture analysis. Recently, several studies were done on the JD between ergodic wide-sense stationary autoregressive (AR) and/or moving average (MA) processes.
Mahdi Saleh, Eric Grivel, Samir-Mohamad Omar   +2 more
openaire   +1 more source

Adaptive ARFIMA models with applications to inflation

Economic Modelling, 2012
Abstract Many previous analyses of inflation have used either long memory or nonlinear time series models. This paper suggests a simple adaptive modification of the basic ARFIMA model, which uses a flexible Fourier form to allow for a time varying intercept.
Morana, C, Baillie, RT
openaire   +1 more source

Inflation persistence for product groups in Brazil using the ARFIMA-GARCH model

Macroeconomics and Finance in Emerging Market Economies, 2022
This study uses ARFIMA-GARCH models and structural break tests to analyse the persistence of Brazilian inflation. Its main contribution is to carry out a disaggregated analysis for nine product groups.
Adriana Ferreira Silva, A. Carrara, Nicole Rennó Castro   +2 more
semanticscholar   +1 more source

Regularised Estimators for ARFIMA Processes

IFAC Proceedings Volumes, 2012
Abstract Stochastic processes with long-range dependence are found in many applications. ARFIMA models can be used to characterise both their short-term correlations and the phenomenon of long-range dependence. Maximum likelihood estimates of the model parameters have nice statistical properties but are ill-conditioned and hard to compute.
Oskar Vivero, William P. Heath
openaire   +1 more source

An Evaluation of ARFIMA Programs

Volume 9: 13th ASME/IEEE International Conference on Mechatronic and Embedded Systems and Applications, 2017
Strong coupling between values at different time that exhibit properties of long range dependence, non-stationary, spiky signals cannot be processed by the conventional time series analysis. The ARFIMA model, which employs the fractional order signal processing techniques, is the generalization of the conventional integer order models — ARIMA and ARMA ...
Kai Liu, Xi Zhang, YangQuan Chen
openaire   +1 more source

Comparing ARFIMA and ARIMA Models in Forecasting under Five Mortality Rate in Tanzania

Asian Journal of Probability and Statistics
Tanzania has been taking various measures to drop the Under-Five Mortality Rate (UFMR), but the pace to meet national and global UFMR targets has been slow.
Sadock Aron Mwijalilege, Michael L. Kadigi, Castory Kibiki   +2 more
semanticscholar   +1 more source