Results 31 to 40 of about 5,691 (212)

Análisis de contagios SARS COV-2 por medio de herramientas de series de tiempo

Dictamen Libre
El presente artículo propone analizar y desarrollar herramientas de series de tiempo con las cuales se pueda estimar la curva de contagios de SARS-COV2 en países de Latinoamérica.
David Santiago Álzate Vélez, Luisa Fernanda Rojas Metaute, William Fernando Correa Serna, David Esteban Rodríguez Guevara   +3 more
doaj   +1 more source

Nonfractional Memory: Filtering, Antipersistence, and Forecasting

, 2018
The fractional difference operator remains to be the most popular mechanism to generate long memory due to the existence of efficient algorithms for their simulation and forecasting.
Vera-Valdés, J. Eduardo
core   +1 more source

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
doaj   +1 more source

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
doaj   +1 more source

Geometric shrinkage priors for K\"ahlerian signal filters

, 2015
We construct geometric shrinkage priors for K\"ahlerian signal filters. Based on the characteristics of K\"ahler manifolds, an efficient and robust algorithm for finding superharmonic priors which outperform the Jeffreys prior is introduced. Several ans\"
Choi, Jaehyung, Mullhaupt, Andrew P.
core   +2 more sources

A Matsuoka‐Based GARMA Model for Environmental and Energy Systems: Theory, Estimation, and Applications

Environmetrics, Volume 37, Issue 3, April 2026.
ABSTRACT We propose a new time series model for continuous data supported on the open unit interval (0,1)$$ \left(0,1\right) $$, motivated by applications in environmental and energy systems. The Matsuoka autoregressive moving average (MARMA) model combines the Matsuoka distribution‐a uniparametric member of the canonical exponential family‐as the ...
Guilherme Pumi, Danilo Hiroshi Matsuoka, Taiane Schaedler Prass, Bruna Gregory Palm   +3 more
wiley   +1 more source

Modeling long-range cross-correlations in two-component ARFIMA and FIARCH processes

, 2007
We investigate how simultaneously recorded long-range power-law correlated multi-variate signals cross-correlate. To this end we introduce a two-component ARFIMA stochastic process and a two-component FIARCH process to generate coupled fractal signals ...
Alfonso Lam Ng, Ashkenazy, Bollerslev, Boris Podobnik, Campbell, Campilo, Chen, Chen, Crouch, Davor Horvatic, Gallant, Godin, Gopikrishnan, Granger, Granger, H. Eugene Stanley, Hosking, Hu, Jagric, Karpoff, LeBaron, Nugent-Glandorf, Peng, Plamen Ch. Ivanov, Plerou, Podobnik, Podobnik, Tauchen, Theiler, Xu, Ying   +30 more
core   +1 more source

A Fuzzy Framework for Realized Volatility Prediction: Empirical Evidence From Equity Markets

Journal of Forecasting, Volume 45, Issue 3, Page 1261-1291, April 2026.
ABSTRACT This study introduces a realized volatility fuzzy time series (RV‐FTS) model that applies a fuzzy c‐means clustering algorithm to estimate time‐varying c latent volatility states and their corresponding membership degrees. These memberships are used to construct a fuzzified volatility estimate as a weighted average of cluster centroids.
Shafqat Iqbal, Štefan Lyócsa
wiley   +1 more source

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   +1 more source

Mathematical Models for Dynamics of Molecular Processes in Living Biological Cells. A Single Particle Tracking Approach

Annales Mathematicae Silesianae, 2018
In this survey paper we present a systematic methodology of how to identify origins of fractional dynamics. We consider three models leading to it, namely fractional Brownian motion (FBM), fractional Lévy stable motion (FLSM) and autoregressive ...
Weron Aleksander
doaj   +1 more source