Results 21 to 30 of about 7,382 (224)
Peramalan Jumlah Kedatangan Wisatawan Mancanegara di Sulawesi Selatan Menggunakan Model ARFIMA
Journal of Mathematics Computations and Statistics, 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 ...
Sukarna Sukarna +3 more
semanticscholar +2 more sources
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 exchange rate volatility with random level shifts [PDF]
, 2016 Recent literature has shown that the volatility of exchange rate returns displays long memory features. It has also been shown that if a short memory process is contaminated by level shifts, the estimate of the long memory parameter tends to be upward ...
Li, Ye, Perron, Pierre, Xu, Jiawen
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A FRACTIONAL ARIMA (ARFIMA) MODEL in the ANALYSIS of HISTORICAL CRUDE OIL PRICES
Energy RESEARCH LETTERS, 2022 We investigate historical data for crude oil prices using autoregressive fractionally integrated moving average (ARFIMA) models to determine whether shocks in the series have transitory or permanent effects.
M. Monge, Juan Infante
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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
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
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Jurnal Statistika Universitas Muhammadiyah Semarang, 2022 Indeks Harga Perdagangan Besar Indonesia (IHPBI) diperlukan sebagai suatu penunjuk awal dalam analisis harga konsumen, dimana ketika terjadi inflasi maka stabilitas ekonomi Indonesia akan mulai terganggu.
M. Miftahuddin +3 more
semanticscholar +1 more source
Unnes Journal of Mathematics, 2022 Model ARFIMA-HYGARCH merupakan model yang dapat menjelaskan time series jangka panjang dan dapat mengatasi masalah ragam yang heterogen serta pengaruh asimetrik dalam data return IHSG.
Nurhayun Rismawati, S. Sugiman
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Evaluating the Effectiveness of GARCH Models in the Estimation of Systematic Risk in listed companies of the Tehran Stock Exchange [PDF]
Journal of Asset Management and Financing, 2020 The stock market of each country, in addition to reflecting its economic structure, is considered as an important source of capital Circulation of that country.
nemat rastgoo, Hossein panahian
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A Comparative Study for Estimate Fractional Parameter of ARFIMA Model
Journal of economic and administrative sciences, 2022 Long memory analysis is one of the most active areas in econometrics and time series where various methods have been introduced to identify and estimate the long memory parameter in partially integrated time series.
Ammar Muayad Saber, R. A. Saleh
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