Results 61 to 70 of about 7,382 (224)
ARFIMA Modelling for Tectonic Earthquakes in The Maluku Region
, 2021 Maluku Province is one of the regions in Indonesia with a very active and very prone earthquake intensity because it is a meeting place for 3 (three) plates, namely the Eurasian, Pacific and Australian plates.
F. K. Lembang +2 more
semanticscholar +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
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
Journal of Scientific Research and ReportsThe objective of this paper is modeling and forecasting the weekly jute prices of Samsi market in the Malda district of West Bengal in the presence of long memory process.
Chowa Ram Sahu +2 more
semanticscholar +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
Optimal spectral bandwidth for long memory [PDF]
, 1993 For long range dependent time series with a spectral singularity at frequency zero, a theory for optimal bandwidth choice in non-parametric analysis ofthe singularity was developed by Robinson (1991b).
Delgado, Miguel A., Robinson, Peter M.
core +10 more sources
Applying (ARFIMA) Model for Forecast the Saudi Stock Market Prices
International Journal for Scientific ResearchThe interest in the topic of time series forecasting has increased during the recent years and thus appeared specific modern methods, for example Autoregressive Fractional Integrated Moving Average model (ARFIMA), or what is called long memory model ...
Khalid Genawi, Rugia Elbashir
semanticscholar +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
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