Results 181 to 190 of about 13,793,172 (210)

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.
Palaniappan Bagavathi Sivakumar, V. P. Mohandas   +1 more
openaire   +2 more sources

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.
openaire   +2 more sources

On the Spectral Density of the Modified-ARFIMA Model

Journal of Chartered Institute of Statisticians of Nigeria
This study develops the Modified-ARFIMA Model and its spectral density for a recursive sequence differencing operator that can handle large data in time series that have long memory characteristics.
A. Bello, M. Tasi’u, H. G. Dikko, B. B. Alhaji   +3 more
openaire   +1 more source

Calculating and analyzing impulse responses for the vector ARFIMA model

Economics Letters, 2001
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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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
openaire   +2 more sources

Network Traffic Prediction and Anomaly Detection Based on ARFIMA Model

2014
In this paper, we present network anomaly detection with the use of ARFIMA model. We propose the method of estimation parameters using the Hyndman-Khandakar algorithm to estimate the polymonials parameters and the Haslett and Raftery algorithm to estimate the differencing parameters.
Tomasz Andrysiak, Lukasz Saganowski, Michal Choras, Rafal Kozik   +3 more
openaire   +1 more source

A Generalized ARFIMA Model with Smooth Transition Fractional Integration Parameter

Journal of Time Series Econometrics, 2017
Abstract This paper proposes a model of time-varying fractional integration where the long-memory parameter, d $d$
openaire   +1 more source

Adaptive ARFIMA Models of Inflation

SSRN Electronic Journal, 2011
Claudio Morana, Richard Baillie
openaire   +1 more source

Efficient estimation method for generalized ARFIMA models

Communications in Statistics - Theory and Methods, 2022
S. S. Pandher, S. Hossain, K. Budsaba, A. Volodin   +3 more
openaire   +1 more source

A Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting

Computational Economics, 2022
Stephen M Miller, Heni Boubaker
exaly