Results 11 to 20 of about 13,793,172 (210)
Error and Model Misspecification in ARFIMA Process [PDF]
Brazilian Review of Econometrics, 2001 In developing the long and short memory estimation, it is usually assumed that the innovations in the ARFIMA model are normally distributed. However, circumstances may occur where this assumption is not true. This paper uses Monte Carlo simulation to evaluate the robustness of different estimators of the fractional parameter in stationary and ...
Valderio A. Reisen +2 more
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Nelson And Plosser Revisited: Evidence From Fractional Arima Models [PDF]
, 2004 In this paper fractionally integrated ARIMA (ARFIMA) models are estimated using an extended version of Nelson and Plosser’s (1982) dataset. The analysis employs Sowell’s (1992) maximum likelihood procedure.
Caporale, GM, Gil-Alana, LA
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Comparative Performance of Mechanistic, Statistical, and Hybrid Models of Forecasting Dengue Fever Incidence in Somalia. A Retrospective Time Series Analysis. [PDF]
Health Sci RepABSTRACT Background and Aims Dengue fever is a growing menace in Somalia, a climate change prone region with a weak healthcare system. An imperative of public health is effective forecasting models. This paper will provide a detailed comparative analysis comparing mechanistic, statistical, and hybrid models in order to find the best forecasting model ...
Abdi AM, Nadarajah S, Muse AH.
europepmc +2 more sources
Dynamics of Inflation and Inflation Uncertainty Using ARFIMA- GARCH Model [PDF]
Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī, 2010 In this paper, we study inflation dynamics and then examine the relation of inflation and inflation uncertainty. At first, for filtering of predictable term of inflation series, we used time series model.
Teymour Mohammadi, Reza Teleblou
doaj +1 more source
MODELLING FOR THE WAVELET COEFFICIENTS OF ARFIMA PROCESSES [PDF]
Journal of Time Series Analysis, 2014 AbstractWe consider a model for the discrete nonboundary wavelet coefficients of autoregressive fractionally integrated moving average (ARFIMA) processes in each scale. Because the utility of the wavelet transform for the long‐range dependent processes, which many authors have explained in semi‐parametrical literature, is approximating the transformed ...
openaire +1 more source
Comparing the bias and misspecification in ARFIMA models [PDF]
Journal of Time Series Analysis, 1997 We investigate the bias in both the short‐term and long‐term parameters for a range of autoregressive fractional integrated moving‐average (ARFIMA) models using both semi‐parametric and maximum likelihood (ML) estimation methods. The results suggest that, provided the correct model is estimated, the ML method outperforms the semi‐parametric methods in ...
Smith, Jeremy +2 more
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Data & Policy, 2022 The aim of the present article is to evaluate the use of the Autoregressive Fractionally Integrated Moving Average (ARFIMA) model in predicting spatially and temporally localized political violent events using the Integrated Crisis Early Warning System ...
Tamir Libel
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Peramalan Jumlah Kedatangan Wisatawan Mancanegara di Sulawesi Selatan Menggunakan Model ARFIMA [PDF]
, 2022 Pariwisata dianggap sebagai suatu aset yang strategis untuk mendorong pembangunan pada wilayah-wilayah tertentu yang mempunyai potensi objek wisata. Faktor-faktor yang mempengaruhi wisatawan mancanegara berkunjung ke suatu wilayah negara, diantaranya ...
Abdy, Muhammad +3 more
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Mathematics, 2021 The peaks-over-threshold (POT) method has a long tradition in modelling extremes in environmental variables. However, it has originally been introduced under the assumption of independently and identically distributed (iid) data. Since environmental data
Pushpa Dissanayake +3 more
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Oil export modeling using ARFIMA model with Bayesian estimation approach [PDF]
Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i ĪrānIt is of particular importance to examine statistical models for fitting time series data and provide a suitable model and predict important elements in macroeconomic and financial planning.
masoud fazlalipoour, parviz nasiri
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