Results 51 to 60 of about 7,220 (228)
, 2016 In this paper, we show that the central limit theorem (CLT) satisfied by the data-driven Multidimensional Increment Ratio (MIR) estimator of the memory parameter d established in Bardet and Dola (2012) for d $\in$ (--0.5, 0.5) can be extended to a ...
Bardet, Jean-Marc, Dola, Béchir
core +2 more sources
Efficient Bayesian inference for ARFIMA processes [PDF]
, 2015 Abstract. Many geophysical quantities, like atmospheric temperature, water levels in rivers, and wind speeds, have shown evidence of long-range dependence (LRD). LRD means that these quantities experience non-trivial temporal memory, which potentially enhances their predictability, but also hampers the detection of externally forced trends. Thus, it is
Graves, T. +3 more
openaire +2 more sources
Journal of Applied Mathematics, Volume 2026, Issue 1, 2026.In this paper, we model edge traffic with a conformable fractional partial differential equation that keeps memory in time and space. The solution represents a unit‐free attack pressure, built from a z‐scored edge series, a quiet period baseline, and a partially absorbing boundary that reflects scrubbing and rate limits.
Ahmad Alshanty +3 more
wiley +1 more source
Stock-return volatility persistence over short and long range horizons: Some empirical evidences
Jurnal Perspektif Pembiayaan dan Pembangunan Daerah, 2020 In this paper, we account for memory failure or otherwise in the daily evolution of stock return and volatility within the purview of short and long ranges based on the arrival of fundamental news.
Kolawole Subair, Ajibola Arewa
doaj +1 more source
Gaziantep Üniversitesi Sosyal Bilimler Dergisi, 2021 Bu çalışmada, Türkiye’nin 2010 – 2020 dönemine ait ülke Kredi Temerrüt Takası Primlerinin finansal zaman serisi olarak özellikleri araştırılmış, parametrik ve yarı parametrik ön testler uygulanmıştır.
Mustafa Çevik, Süleyman Serdar Karaca
doaj +1 more source
Fractional Gaussian Noise: Spectral Density and Estimation Methods
Journal of Time Series Analysis, Volume 46, Issue 6, Page 1146-1174, November 2025.The fractional Brownian motion (fBm) process, governed by a fractional parameter H∈(0,1)$$ H\in \left(0,1\right) $$, is a continuous‐time Gaussian process with its increment being the fractional Gaussian noise (fGn). This article first provides a computationally feasible expression for the spectral density of fGn.
Shuping Shi, Jun Yu, Chen Zhang
wiley +1 more source
S&P 500 microstructure noise components: empirical inferences from futures and ETF prices
Journal of Time Series Analysis, Volume 46, Issue 6, Page 1032-1063, November 2025.By studying the differences between futures prices and exchange‐traded fund prices for the S&P 500 index, original results are obtained about the distribution and persistence of the microstructure noise component created by positive bid‐ask spreads and discrete price scales.
Stephen J. Taylor
wiley +1 more source
INTERNATIONAL TOURISTS’ EXPENDITURES IN THAILAND: A MODELLING OF THE ARFIMA-FIGARCH APPROACH [PDF]
Annals of the University of Petrosani: Economics, 2010 Forecasting is an essential analytical tool for tourism policy andplanning. This paper focuses on forecasting methods based on ARFIMA(p,d,q)-FIGARCH(p,d,q).
KANCHANA CHOKETHAWORN +5 more
doaj
نمذجة وتحليل أسعار الموز في مدينة الموصل باستخدام نموذج ARFIMA "دراسة تنبؤيه للسوق [PDF]
المجلة العراقية للعلوم الاحصائيةتناولت هذه الدراسة استخدام نماذج ARFIMA للتنبؤ بأسعار الموز المستورد في مدينه الموصل وذلك بالاعتماد على البيانات التي تم الحصول عليها من مديريه زراعه نينوى للفترة من سنه 2018 لغايه 2023 حيث استخدم في البحث عده طرق لتقدير الذاكرة الطويلة وتحديد قيمه معلمه
{حاب طلال, عمر سالم
doaj +1 more source
Local powers of least‐squares‐based test for panel fractional Ornstein–Uhlenbeck process
Journal of Time Series Analysis, Volume 46, Issue 5, Page 997-1023, September 2025.In recent years, significant advancements have been made in the field of identifying financial asset price bubbles, particularly through the development of time‐series unit‐root tests featuring fractionally integrated errors and panel unit‐root tests.
Katsuto Tanaka, Weilin Xiao, Jun Yu
wiley +1 more source