Results 61 to 70 of about 2,441 (205)
Local Whittle estimation in time‐varying long memory series
Journal of Time Series Analysis, Volume 46, Issue 4, Page 647-673, July 2025.The memory parameter is usually assumed to be constant in traditional long memory time series. We relax this restriction by considering the memory a time‐varying function that depends on a finite number of parameters. A time‐varying Local Whittle estimator of these parameters, and hence of the memory function, is proposed.
Josu Arteche, Luis F. Martins
wiley +1 more source
A Generalized ARFIMA Process with Markov-Switching Fractional Differencing Parameter [PDF]
We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models can be easily estimated with the
Wolfgang Härdle, Wen-Jen Tsay
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Malaysian Journal of Computing, 2020 The main purpose of this study is to compare the performances of univariate and bivariate models on four-time series variables of the crude palm oil industry in Peninsular Malaysia.
Pauline Jin Wee Mah, Nur Nadhirah Nanyan
doaj +1 more source
Improved Trend Analysis With EOFs and Application to Warming of Polar Regions
International Journal of Climatology, Volume 45, Issue 7, 15 June 2025.Introducing a variation of EOF analysis, we obtain an insignificant Antarctic trend between 1979 and 2023 of (0.13 ± 0.17) K/decade. The first principal component completely captures the trend for land regions of the order of the size of most countries.
Ewan T. Phillips, Holger Kantz
wiley +1 more source
Identification in ARFIMA models [PDF]
, 2016 RESUMEN: Desde la introducción de los modelos fraccionalmente integrados ARFIMA para series de tiempo con memoria larga, ha surgido un gran interés en el estudio de sus propiedades y áreas de aplicación.
Castaño Vélez, Elkin Argemiro
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Comparing the accuracy of the model Meta heuristic and Econometric in forecasting of financial time series with long-term memory (Case Study, Stock Index of Cement Industry in Iran) [PDF]
تحقیقات مالی, 2011 Data with high frequency have a particular type of none stationary that is called fractional none stationary. This property causes the emergence of long-term memory in financial time series with high frequency. The existence of long-term memory in cement
Farnaz Barzinpour +3 more
doaj
Identifying influential individuals and predicting future demand of chronic kidney disease patients
Decision Sciences, Volume 56, Issue 2, Page 123-143, April 2025.ABSTRACT To ensure high service quality, managers need to personalize treatment options and meet their customer demands. Our research is motivated by the need to better anticipate and prepare for that. We develop a generalizable framework that is the first to address two healthcare risk management goals: (1) identifying high risk and stable‐demand ...
Zlatana D. Nenova, Valerie L. Bartelt
wiley +1 more source
Estimation of parameters in ARFIMA processes
, 2020 It is known that, in the presence of short memory components, the estimation of the fractional parameter d in an Autoregressive Fractionally Integrated Moving Average, ARFIMA(p, d, q), process leads to some difficulties (Smith et al. (1997)). In this paper, we continue the efforts made by Smith et al. (1997) by conducting a simulation study to evaluate
Lopes, Silvia Regina Costa +2 more
openaire +1 more source
Fractional stochastic volatility model
Journal of Time Series Analysis, Volume 46, Issue 2, Page 378-397, March 2025.This article introduces a discrete‐time fractional stochastic volatility model (FSV) based on fractional Gaussian noise. The new model includes the standard stochastic volatility model as a special case and has the same limit as the fractional integrated stochastic volatility (FISV) model, which is the continuous‐time fractional Ornstein–Uhlenbeck ...
Shuping Shi, Xiaobin Liu, Jun Yu
wiley +1 more source
Fractional Integration and Business Cycles Features [PDF]
We show in this article that fractionally integrated univariate models for GDP may lead to a better replication of business cycle characteristics. We firstly show that the business cycle features are clearly affected by the degree of integration as well ...
Luis A. Gil-Alana, Bertrand Candelon
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