Results 181 to 190 of about 4,943 (215)

Preliminary estimation of ARFIMA models

2000
In this article we propose a preliminary estimator for the parameters of an ARFIMA(p,d,q) model. The estimation procedure is based on the search of the element in the class of ARFIMA models closest to the estimated ARMA model which best fits the observed time series.
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Long-Range Dependence and ARFIMA Models

2013
In 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, M. Levent Kavvas, Rovshan K. Abbasov   +2 more
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Modelling long-term heart rate variability: an ARFIMA approach

Biomedizinische Technik/Biomedical Engineering, 2006
Long-term heart rate variability (HRV) series can be described by time-variant autoregressive modelling. HRV recordings show dependence between distant observations that is not negligible, suggesting the existence of long-range correlations. In this work, selective adaptive segmentation combined with fractionally integrated autoregressive moving ...
Argentina S, Leite, Ana Paula, Rocha, M Eduarda, Silva, Ovídio, Costa   +3 more
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Network Anomaly Detection Based on ARFIMA Model

2015
In 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, Łukasz Saganowski
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Invariance of the first difference in ARFIMA models

Computational Statistics, 2006
The main goal of the paper is to analyze which estimation method for the fractional parameter is invariant to first-differencing when the model is described by an ARFIMA(p,d,q) process. The authors consider the performance of four estimation methods, belonging to parametric and semiparametric classes, for non-stationary ARFIMA models with main interest
Olbermann, Barbara P., Lopes, Sílvia R. C., Reisen, Valdério A.   +2 more
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On the estimation and diagnostic checking of the ARFIMA–HYGARCH model

Computational Statistics & Data Analysis, 2012
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Kwan, W, Li, WK, Li, G
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Modeling and predicting stock returns using the ARFIMA-FIGARCH

2009 World Congress on Nature & Biologically Inspired Computing (NaBIC), 2009
Modeling of real world financial time series such as stock returns are very difficult, because of their inherent characteristics. ARIMA and GARCH models are frequently used in such cases. It is proven of late that, the traditional models may not produce the best results. Lot of recent literature says the successes of hybrid models.
P. Bagavathi Sivakumar, V. P. Mohandas
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Monitoring long‐memory air quality data using ARFIMA model

Environmetrics, 2007
AbstractStatistical control chart is commonly used in the industry to help ensure stability of manufacturing process and it can also be used to monitor the environmental data, such as industrial waste or effluent of manufacturing process. However, control chart needs to be modified if the set of environmental data exhibits the property of long memory ...
Jeh‐Nan Pan, Su‐Tsu Chen
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A Generalized ARFIMA Model with Smooth Transition Fractional Integration Parameter

Journal of Time Series Econometrics, 2017
AbstractThis paper proposes a model of time-varying fractional integration where the long-memory parameter,d$d$, in an ARFIMA model is allowed to depend ont$t$and evolve according to a Smooth Transition Regressive (STR) model advanced by Teräsvirta (1994, 1998) . To estimate the time-varying fractional integration parameter, we suggest a new multi-step
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Estimation and testing of ARFIMA models in the real exchange rate

International Journal of Finance & Economics, 2002
AbstractThe 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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