Results 31 to 40 of about 7,220 (228)
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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Maximum likelihood estimation of stationary multivariate ARFIMA processes [PDF]
Journal of Statistical Computation and Simulation, 2010 This article considers the maximum likelihood estimation (MLE) of a class of stationary and invertible vector autoregressive fractionally integrated moving-average (VARFIMA) processes considered in Equation (26) of Luceno [A fast likelihood approximation for vector general linear processes with long series: Application to fractional differencing ...
Martin, Vance L., Wilkins, Nigel P.
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Journal of Hydrology and Hydromechanics, 2014 Short term streamflow forecasting is important for operational control and risk management in hydrology. Despite a wide range of models available, the impact of long range dependence is often neglected when considering short term forecasting.
Szolgayová Elena +3 more
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Evaluation of Dual Long Memory Properties with Emphasizing the Skewed and Fat-Tail Distribution: Evidence from Tehran Stock Exchange [PDF]
Muṭāli̒āt-i Mudīriyyat-i Ṣan̒atī, 2014 This paper investigates the presence of long memory in the Tehran stock market, using the ARFIMA, GPH, GSP and FIGARCH models. The data set consists of daily returns, and long memory tests are carried out both for the returns and volatilities of TEPIX ...
Mohammad Javad Mohagheghnia +3 more
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SMALL-SAMPLE LIKELIHOOD-BASED INFERENCE IN THE ARFIMA MODEL [PDF]
Econometric Theory, 2000 The autoregressive fractionally integrated moving average (ARFIMA) model has become a popular approach for analyzing time series that exhibit long-range dependence. For the Gaussian case, there have been substantial advances in the area of likelihood-based inference, including development of the asymptotic properties of the maximum likelihood ...
Offer Lieberman +2 more
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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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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
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İKİLİ UZUN HAFIZADA ASİMETRİ ETKİSİ: BİST BANKA ÖRNEĞİ
Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 2019 Çalışmanın amacı, Türk bankacılık sektör endeksiningetiri ve volatilitesinde ikili uzun hafıza özelliğini ARFIMA-FIGARCH veARFIMA-FIEGARCH modeli ile inceleyerek etkin piyasalar hipotezini testetmektir. Bu amaçla modelde veri seti olarak 2008-2017 dönemi
Harun Kaya, İsmail Çelik
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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
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Forecasting energy futures volatility based on the unbiased extreme value volatility estimator
IIMB Management Review, 2017 This paper uses the opening, high, low, and closing prices of five energy futures to estimate and model volatility based on the unbiased extreme value volatility estimator (the Add RS estimator).
Dilip Kumar
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