Results 41 to 50 of about 4,901 (213)
Geometric shrinkage priors for K\"ahlerian signal filters
, 2015 We construct geometric shrinkage priors for K\"ahlerian signal filters. Based on the characteristics of K\"ahler manifolds, an efficient and robust algorithm for finding superharmonic priors which outperform the Jeffreys prior is introduced. Several ans\"
Choi, Jaehyung, Mullhaupt, Andrew P.
core +2 more sources
Journal of Applied Mathematics, Volume 2026, Issue 1, 2026.In this paper, we model edge traffic with a conformable fractional partial differential equation that keeps memory in time and space. The solution represents a unit‐free attack pressure, built from a z‐scored edge series, a quiet period baseline, and a partially absorbing boundary that reflects scrubbing and rate limits.
Ahmad Alshanty +3 more
wiley +1 more source
Fractional Neuro-Sequential ARFIMA-LSTM for Financial Market Forecasting
IEEE Access, 2020 Forecasting of fast fluctuated and high-frequency financial data is always a challenging problem in the field of economics and modelling. In this study, a novel hybrid model with the strength of fractional order derivative is presented with their ...
Ayaz Hussain Bukhari +5 more
doaj +1 more source
ARFIMA Modelling for Tectonic Earthquakes in The Maluku Region
Indonesian Journal of Statistics and Its Applications, 2021 Maluku Province is one of the regions in Indonesia with a very active and very prone earthquake intensity because it is a meeting place for 3 (three) plates, namely the Eurasian, Pacific and Australian plates. In the last 100 years, the history of tectonic earthquakes with tsunamis that occurred in Indonesia was 25-30% occurring in the Maluku Sea and ...
Ferry Kondo Lembang +2 more
openaire +2 more sources
Fractional Gaussian Noise: Spectral Density and Estimation Methods
Journal of Time Series Analysis, Volume 46, Issue 6, Page 1146-1174, November 2025.The fractional Brownian motion (fBm) process, governed by a fractional parameter H∈(0,1)$$ H\in \left(0,1\right) $$, is a continuous‐time Gaussian process with its increment being the fractional Gaussian noise (fGn). This article first provides a computationally feasible expression for the spectral density of fGn.
Shuping Shi, Jun Yu, Chen Zhang
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Jurnal LebesgueThe Autoregressive Fractionally Integrated Moving Average (ARFIMA) model is a development of the ARIMA model with the differencing values being fractional numbers.
Muhammad Reja Sinaga +2 more
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S&P 500 microstructure noise components: empirical inferences from futures and ETF prices
Journal of Time Series Analysis, Volume 46, Issue 6, Page 1032-1063, November 2025.By studying the differences between futures prices and exchange‐traded fund prices for the S&P 500 index, original results are obtained about the distribution and persistence of the microstructure noise component created by positive bid‐ask spreads and discrete price scales.
Stephen J. Taylor
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PM10 AIR QUALITY INDEX MODELING USING ARFIMA-GARCH METHOD: BUNDARAN HI AREA OF DKI JAKARTA PROVINCE
BarekengAir quality is an essential factor in urban life, and its’ assessment often relies on the concentration of measurable air pollution parameters. One critical parameter is Particulate Matter (PM), particularly PM10, which comprises solid or liquid ...
Susilo Hariyanto +2 more
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Local powers of least‐squares‐based test for panel fractional Ornstein–Uhlenbeck process
Journal of Time Series Analysis, Volume 46, Issue 5, Page 997-1023, September 2025.In recent years, significant advancements have been made in the field of identifying financial asset price bubbles, particularly through the development of time‐series unit‐root tests featuring fractionally integrated errors and panel unit‐root tests.
Katsuto Tanaka, Weilin Xiao, Jun Yu
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Jurnal LebesgueOil price movements are highly volatile and tend to be influenced over extended periods, often displaying long memory effect. This study utilizes the Autoregressive Fractionally Integrated Moving Average (ARFIMA) model, a long memory model, to analyze ...
Eza Syafri Ramadhani +2 more
doaj +1 more source