Results 91 to 100 of about 4,943 (215)

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
doaj   +1 more source

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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Prediction of maintenance workforce efficiency using neural networks, fuzzy inference system and autoregressive fractionally integrated moving average for a process industry

Vietnam Journal of Science, Technology and Engineering
This study establishes the efficiency of the maintenance workforce in a process plant, utilising combined models, including artificial neural networks (ANN)-weighted aggregated sum product assessment (WASPAS) and ANN-fuzzy inference system (FIS)-WASPAS.
Sunday Ayoola Oke, Desmond Eseoghene Ighravwe   +1 more
doaj  

Stock market volatility simulation with the LSTM neural network

Вестник Пермского университета: Серия Экономика
Introduction. 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, Robert Viktorovich Garafutdinov   +1 more
doaj   +1 more source

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, Yazdan Gudarzi Farahani   +1 more
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A guide to Whittle maximum likelihood estimator in MATLAB. [PDF]

Front Netw Physiol, 2023
Roume C.
europepmc   +1 more source

A Mixture Multiplicative Error Model for Realized Volatility [PDF]

A multiplicative error model with time-varying parameters and an error term following a mixture of gamma distributions is introduced. The model is fitted to the daily realized volatility series of Deutschemark/Dollar and Yen/Dollar returns and is shown ...
Markku Lanne
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Higher-Order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes [PDF]

, 2013
This paper investigates the accuracy of bootstrap-based inference in the case of long memory fractionally integrated processes. The re-sampling method is based on the semi-parametric sieve approach, whereby the dynamics in the process used to produce the
Grose, Simone D., Martin, Gael M., Poskitt, D. S.   +2 more
core   +1 more source

A NEW TEST FOR THE FRACTIONAL DIFFERENCING PARAMETER UNA NUEVA PRUEBA PARA EL PARÁMETRO DE DIFERENCIACIÓN FRACCIONAL

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, Gómez Karoll, Gallón Santiago   +2 more
doaj  

Forecasting volatility and volume in the Tokyo stock market: The advantage of long memory models [PDF]

We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular emphasis of this paper is on assessing the performance of long memory time series models in comparison to their short-memory ...
Kaizoji, Taisei, Lux, Thomas
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