Results 71 to 80 of about 2,441 (205)
Estimação robusta de processos ARFIMA [PDF]
, 2011 This document focus on the study of methodologies used for estimating the long memory parameter in ARFIMA processes contaminated by atypical data. The suggested methodologies are based on robust estimators for the spectrum of the process, which can be ...
Fabio Alexander Fajardo Molinares
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PM10 AIR QUALITY INDEX MODELING USING ARFIMA-GARCH METHOD: BUNDARAN HI AREA OF DKI JAKARTA PROVINCE
BarekengAir quality is an essential factor in urban life, and its’ assessment often relies on the concentration of measurable air pollution parameters. One critical parameter is Particulate Matter (PM), particularly PM10, which comprises solid or liquid ...
Susilo Hariyanto +2 more
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Estimation of a stationary multivariate ARFIMA process
Afrika Statistika, 2018 In this note, we consider an m-dimensional stationary multivariate long memory ARFIMA (AutoRegressive Fractionally Integrated Moving Average) process, which is defined as : A(L)D(L) (y1(t),...,ym(t))' = B(L) (∈1(t),..., ∈m(t))', where M' denotes the transpose of the matrix M.
Mbeke, Kévin Stanislas, Hili, Ouagnina
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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
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Does the ARFIMA really shift? [PDF]
, 2017 Short memory models contaminated by level shifts have long-memory features similar to those associated to processes generated under fractional integration. In this paper, we propose a robust testing procedure, based on an encompassing parametric specification, that allows to disentangle the level shift term from the ARFIMA component.
Monache, Davide Delle +2 more
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PENERAPAN MODEL ARFIMA (AUTOREGRESSIVE FRACTIONALLY INTEGRATED MOVING AVERAGE) [PDF]
, 2009 ABSTRAK. Beberapa metode pemodelan time series telah dikembangkan. Metode yang paling umum digunakan adalah ARIMA. ARIMA sangat efektif digunakan untuk memodelkan data yang tidak stasioner, yang ditunjukkan oleh plot ACF yang turun secara eksponensial ...
Winita Sulandari, M.Si. +1 more
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Kripto Para Birimi Piyasalarında GPH Yöntemi ile Uzun Hafıza Analizi: Bitcoin Örneği
Ekonomi, Politika & Finans Araştırmaları DergisiSon yıllarda, para piyasalarında ve bankacılık sektöründe yaşanan krizlerin etkisiyle merkezi para otoritelerine olan güven sarsılmış ve bu nedenle merkezi olmayan bir sistem arayışına girilmiştir.
İpek Yurttagüler
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Lecturas de Economía, 2011 Sesgos en estimación, tamaño y potencia de una prueba sobre el parámetro de memoria larga en modelos ARFIMA Resumen: Castaño et al. (2008) proponen una prueba para investigar la existencia de memoria larga, basada en el parámetro de diferenciación ...
Elkin Castaño Vélez +2 more
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Measuring core inflation in the euro area [PDF]
We propose a measure of core inflation which is derived from a Markov switching ARFIMA model. The Markov switching ARFIMA model generalises the standard ARFIMA model allowing mean reversion to take place with respect to a changing unconditional mean.
Morana, Claudio
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Jurnal LebesgueOil price movements are highly volatile and tend to be influenced over extended periods, often displaying long memory effect. This study utilizes the Autoregressive Fractionally Integrated Moving Average (ARFIMA) model, a long memory model, to analyze ...
Eza Syafri Ramadhani +2 more
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