Results 171 to 180 of about 13,793,172 (210)
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On the estimation and diagnostic checking of the ARFIMA–HYGARCH model
Computational Statistics & Data Analysis, 2012zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Wilson Kwan, Wai Keung Li, Guodong Li
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Modeling of PMU Data Using ARFIMA Models
2018 Clemson University Power Systems Conference (PSC), 2018Installing Phasor Measurement Units (PMUs) in the smart grid has played an important role in having more reliable and secure grid. Due to the high sampling rate (50 samples/s), PMU generates massive amount of data compared to the conventional SCADA system.
Laith Shalalfeh +2 more
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Indirect estimation of ARFIMA and VARFIMA models
Journal of Econometrics, 1999zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Martin, Vance L., Wilkins, Nigel P.
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Analysing inflation by the fractionally integrated ARFIMA-GARCH model
Journal of Applied Econometrics, 1996This paper considers the application of long-memory processes to describing inflation for 10 countries. We implement a new procedure to obtain approximate maximum likelihood estimates of an ARFIMA-GARCH process; which is fractionally integrated I(d) with a superimposed stationary ARMA component in its conditional mean.
Baillie, Richard T +2 more
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Network Anomaly Detection Based on ARFIMA Model
2015In this paper, the estimation model ARFIMA is presented as a method of detecting anomalies in network traffic. Parameters estimation and model identification are performed with the use of algorithms of: Geweke and Porter-Hudak (estimation of the differencing parameters) and Box-Jankins (identification of the row of the model).
Tomasz Andrysiak, Lukasz Saganowski
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Parametric estimation for ARFIMA models via spectral methods
Statistical Methods & Applications, 2005zbMATH Open Web Interface contents unavailable due to conflicting licenses.
COLI, Mauro +2 more
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Estimation and testing of ARFIMA models in the real exchange rate
International Journal of Finance & Economics, 2002AbstractThe Purchasing Power Parity (PPP) hypothesis is one of the most important theoretical relationships in international economics. However, its empirical support remains controversial. We propose an alternative way of modelling the real exchange rate in five industrialized countries in relation to the US dollar, by means of fractionally integrated
GIL-ALANA, Luis A., TORO, Juan
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Bayesian analysis of long memory and persistence using ARFIMA models [PDF]
Journal of Econometrics, 1997 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
KOOP , Gary +3 more
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Long-Range Dependence and ARFIMA Models
2013In this chapter, long-range dependence concept, Hurst phenomenon and ARFIMA models are introduced and the earlier work on these subjects are reviewed. Several methodologies are introduced for the estimation of long-range dependence index (Hurst number or fractional difference parameter).
Ali Ercan +2 more
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Forecasting comparisons using a hybrid ARFIMA and LRNN models
Communications in Statistics - Simulation and Computation, 2017In this article, an autoregressive fractionally integrated moving average model (ARFIMA) and a layer recurrent neural network (LRNN) were combined to form a hybrid forecasting model.
Augustine Pwasong, Saratha Sathasivam
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