Results 11 to 20 of about 7,220 (228)

Modeling Long Memory Volatilities of Nigeria Selected Macro Economic Variables with Arfima and Arfima Figarch

Cumhuriyet Science Journal
The 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
doaj   +4 more sources

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
doaj   +4 more sources

PERAMALAN NILAI EKSPOR MIGAS DENGAN MENERAPKAN MODEL AUTOREGREGRESSIVE FRACTIONALLY INTEGRATED MOVING AVERAGE (ARFIMA)

Jurnal Lebesgue
Indonesia, a nation in Southeast Asia, has a wealth of natural resources that could serve as the basis for future economic growth. Increased exports of natural resources are crucial for market expansion, job creation, foreign exchange gains, and economic
Putri Hazizah Rahwani, Achmad Syaiful, Mika Alvionita S   +2 more
doaj   +2 more sources

PEMODELAN AUTOREGRESSIVE FRACTIONALLY INTEGRATED MOVING AVERAGE (ARFIMA) UNTUK AKTIVITAS CURAH HUJAN DI KOTA MEDAN

Jurnal Lebesgue
The Autoregressive Fractionally Integrated Moving Average (ARFIMA) model is a development of the ARIMA model with the differencing values ​​being fractional numbers.
Muhammad Reja Sinaga, Sutarman Sutarman, Fibri Rakhmawati   +2 more
doaj   +2 more sources

FORECASTING THE UNEMPLOYMENT RATE IN MALAYSIA DURING COVID-19 PANDEMIC USING ARIMA AND ARFIMA MODELS

Malaysian Journal of Computing, 2022
The unemployment issue is one of the most common problems faced by many countries around the world. The unemployment rates in developed countries often fluctuate throughout time.
Nur Afiqah Ismail, Nurin Alya Ramzi, Pauline Jin Wee Mah   +2 more
doaj   +2 more sources

Lesson (un)replicated: Predicting levels of political violence in Afghan administrative units per month using ARFIMA and ICEWS data

Data & Policy, 2022
The aim of the present article is to evaluate the use of the Autoregressive Fractionally Integrated Moving Average (ARFIMA) model in predicting spatially and temporally localized political violent events using the Integrated Crisis Early Warning System ...
Tamir Libel
doaj   +2 more sources

Combining long memory and level shifts in modeling and forecasting the volatility of asset returns [PDF]

, 2017
We propose a parametric state space model of asset return volatility with an accompanying estimation and forecasting framework that allows for ARFIMA dynamics, random level shifts and measurement errors.
Perron, Pierre, Varneskov, Rasmus T.
core   +1 more source

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
doaj   +1 more source

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., Hidalgo, Javier, Velasco, Carlos   +2 more
openaire   +2 more sources

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
openaire   +4 more sources