Revista Colombiana de Estadística, 2008 Este documento presenta una nueva prueba para el parámetro de diferenciación fraccional de un modelo ARFIMA, basada en una aproximación autorregresiva de su componente a corto plazo.
ELKIN CASTAÑO +2 more
doaj
Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration [PDF]
In this paper we compare through Monte Carlo simulations the finite sample properties of estimators of the fractional differencing parameter, d. This involves frequency domain, time domain, and wavelet based approaches and we consider both parametric and
Morten Ørregaard Nielsen +1 more
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Predicting Waste Volume Using ARIMA and ARFIMA Models
International Research Journal of Multidisciplinary ScopeThe final waste processing facility plays a crucial role in waste management. The growing amount of waste in landfills is causing significant harm to the surrounding environment and the health of nearby residents. This study seeks to offer insights into the projected future waste volume in landfills. This research applies the mathematical models of the
null Hedi +3 more
openaire +1 more source
SaPt-CNN-LSTM-AR-EA: a hybrid ensemble learning framework for time series-based multivariate DNA sequence prediction. [PDF]
PeerJ, 2023 Yan W +5 more
europepmc +1 more source
Maximum-likelihood estimation of fractional cointegration with application to the short end of the yield curve [PDF]
We estimate a multivariate autoregressive fractionally-integrated moving-average (ARFIMA) model to illustrate a cointegration testing methodology based on joint estimates of the fractional orders of integration of a cointegrating vector and its parent ...
Michael Dueker, Richard Startz
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South African inflation modelling using bootstrapped long short-term memory methods. [PDF]
SN Bus Econ, 2023 Kubheka S.
europepmc +1 more source
Reexamining the linkages between inflation and output growth: A bivariate ARFIMA-FIGARCH approach [PDF]
In this paper, given recent theoretical developments that inflation can exhibit long memory properties due to the output growth process, we propose a new class of bivariate processes to simultaneously investigate the dual long memory properties in the ...
Feng Jiang, Mustafa Caglayan
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THE LONG MEMORY PROPERTY OF HUNGARIAN MARKET PIG PRICES: A COMPARISON OF THREE DIFFERENT METHODS [PDF]
Annals of the University of Petrosani: Economics, 2012 The present study investigates the long memory property of market pig prices. Simply knowing that these time series have long term dependence could have strong significance when forecasting prices.
SÁNDOR KOVÁCS +3 more
doaj
Long Memory Features in Return and Volatility of the Malaysian Stock Market [PDF]
This study aims to investigate the existence of long memory in the Malaysian stock market utilizing daily stock price index from the period 1998:09 to 2009:12.
Mohammad Tariqul Islam Khan +1 more
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Long Memory in the Turkish Stock Market Return and Volatility [PDF]
This paper examines the dual long memory property of the Turkish stock market. The data set consists of daily returns, and long memory tests are carried out both for the returns and volatility.
Adnan Kasman, Erdost Torun
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