Results 11 to 20 of about 2,617 (208)
PEMODELAN DATA HARGA CABAI DENGAN PENDEKATAN DERET WAKTU FRAKSIONAL ARFIMA
Jurnal Lebesgue, 2023 Long-memory is a type of time series data that has a high correlation between long observation times. This can be seen from the autocorrelation function where the lag falls slowly over a long period. Such long-memory data can be modeled in the form of an
Elsa Wahyuni +2 more
doaj +2 more sources
Error and Model Misspecification in ARFIMA Process [PDF]
Brazilian Review of Econometrics, 2001 In developing the long and short memory estimation, it is usually assumed that the innovations in the ARFIMA model are normally distributed. However, circumstances may occur where this assumption is not true. This paper uses Monte Carlo simulation to evaluate the robustness of different estimators of the fractional parameter in stationary and ...
Valderio A. Reisen +2 more
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Comparative Performance of Mechanistic, Statistical, and Hybrid Models of Forecasting Dengue Fever Incidence in Somalia. A Retrospective Time Series Analysis. [PDF]
Health Sci RepABSTRACT Background and Aims Dengue fever is a growing menace in Somalia, a climate change prone region with a weak healthcare system. An imperative of public health is effective forecasting models. This paper will provide a detailed comparative analysis comparing mechanistic, statistical, and hybrid models in order to find the best forecasting model ...
Abdi AM, Nadarajah S, Muse AH.
europepmc +2 more sources
A hybrid ARFIMA wavelet artificial neural network model for DJIA index forecasting [PDF]
, 2023 This paper proposes a hybrid modelling approach for forecasting returns and volatilities of the stock market. The model, called ARFIMA-WLLWNN model, integrates the advantages of the ARFIMA model, the wavelet decomposition technique (namely, the discrete ...
Canarella, Giorgio +3 more
core +1 more source
Lecturas de Economía, 2013 Prueba de hipótesis sobre la existencia de una raíz fraccional en una serie de tiempo no estacionaria Resumen: En este trabajo se propone una modificación de la prueba de hipótesis propuesta por Castaño, Gómez y Gallón (2008) para determinar la ...
Diego Lemus, Elkin Castaño
doaj +5 more sources
A Study of Nigeria Monthly Stock Price Index Using ARTFIMA-FIGARCH Hybrid Model
UMYU Scientifica Journal, 2023 Long memory is a phenomenon in time series analysis that is exhibited by a slow decay of the autocorrelation function. It has been observed that the presence of long memory in both mean and volatility can complicate model fitting and compromise ...
A G Umar, H G Dikko, J Garba, M Tasi’u
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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
doaj +1 more source
MODELLING FOR THE WAVELET COEFFICIENTS OF ARFIMA PROCESSES [PDF]
Journal of Time Series Analysis, 2014 AbstractWe consider a model for the discrete nonboundary wavelet coefficients of autoregressive fractionally integrated moving average (ARFIMA) processes in each scale. Because the utility of the wavelet transform for the long‐range dependent processes, which many authors have explained in semi‐parametrical literature, is approximating the transformed ...
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Peramalan Jumlah Kedatangan Wisatawan Mancanegara di Sulawesi Selatan Menggunakan Model ARFIMA [PDF]
, 2022 Pariwisata dianggap sebagai suatu aset yang strategis untuk mendorong pembangunan pada wilayah-wilayah tertentu yang mempunyai potensi objek wisata. Faktor-faktor yang mempengaruhi wisatawan mancanegara berkunjung ke suatu wilayah negara, diantaranya ...
Abdy, Muhammad +3 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
openaire +5 more sources