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Sèries temporals amb memòria llarga: models ARFIMA
, 2023 Treballs Finals de Grau de Matemàtiques, Facultat de Matemàtiques, Universitat de Barcelona, Any: 2023 , Director: Josep Vives i Santa ...
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Modeling of nonstationarity and long memory with RS-ARFIMA-GARCH model
African Journal of Applied Statistics, 2018 We consider in this study the problem of confusion between the nonstationarity and the long memory. Many authors have pointed out, in empirical case, the existence of long memory in financial and economics time series, through processes supposed short memory stationary (See Mikosch and Stáricá (2004) and Lobato and Savin (1998)).
FOFANA, Souleymane +2 more
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Coal consumption forecast based on fractional ARIMA model
矿业科学学报, 2017 The consumption of coal is very complex, and the forecast and analysis of coal consumption can provide reference for rational arrangement of coal production.The usual prediction is based on the ARMA or ARIMA model, which neither consider its long-term ...
Liu Kai, Zhang Xi
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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
Wen-Jen Tsay, Wolfgang Härdle
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Stock market volatility simulation with the LSTM neural network
Вестник Пермского университета: Серия ЭкономикаIntroduction. Stock market volatility simulation and forecast are relevant issues which could contribute into lower risks and higher revenues of the market transactions.
Dmitry Aleksandrovich Patlasov +1 more
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Estimating the Degree of Integration in CPI with ARFIMA-FIGARCH Model: Case study of Iran [PDF]
Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī, 2014 The study of the effect of memory in different economic indices, especially inflation and money market, has high research attractiveness. In this paper, by using the data of consumer price index for Iran during 1990/04 – 2011/11, we investigate the ...
Hossein Abbasinejad +1 more
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A comparative analysis of alternative univariate time series models in forecasting Turkish inflation
Journal of Business Economics and Management, 2012 This paper analyses inflation forecasting power of artificial neural networks with alternative univariate time series models for Turkey. The forecasting accuracy of the models is compared in terms of both static and dynamic forecasts for the period ...
A. Nazif Çatık, Mehmet Karaçuka
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A guide to Whittle maximum likelihood estimator in MATLAB. [PDF]
Front Netw Physiol, 2023 Roume C.
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Minimum distance estimation of stationary and non-stationary ARFIMA processes [PDF]
A new parametric minimum distance time-domain estimator for ARFIMA processes is introduced in this paper. The proposed estimator minimizes the sum of squared correlations of residuals obtained after filtering a series through ARFIMA parameters.
Laura Mayoral
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Revista Colombiana de Estadística, 2008 This paper presents a new test for the fractional differencing parameter of an ARFIMA model, based on an autoregressive approximation of its short-range component.
Castaño Elkin +2 more
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