Results 81 to 90 of about 4,943 (215)
Gestão & Produção, 2012 Neste trabalho foram avaliados os ajustes de cinco modelos para previsão da variância, utilizando-se uma série de preços de soja, uma commodity negociada na bolsa de mercadorias de Chicago (CBOT), com dados de alta frequência. Os modelos utilizados foram
Mario Domingues Simões +3 more
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INTERNATIONAL TOURIST ARRIVALS IN THAILAND: FORECASTING WITH ARFIMA-FIGARCH APPROACH [PDF]
Annals of the University of Petrosani: Economics, 2010 Forecasting is an essential analytical tool for tourism policy andplanning. This paper focuses on forecasting methods based on ARFIMA(p,d,q)-FIGARCH(p,d,q).
KANCHANA CHOKETHAWORN +5 more
doaj
Prediction intervals in the ARFIMA model using bootstrap G
Financial Statistical Journal, 2018 This paper presents a bootstrap resampling scheme to build pre-diction intervals for future values in fractionally autoregressive movingaverage (ARFIMA) models. Standard techniques to calculate forecastintervals rely on the assumption of normality of the data and do nottake into account the uncertainty associated with parameter estima-tion.
Glaura C. Franco +2 more
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Inflação inercial sob mudanças de regime: análise a partir de um modelo MS-ARFIMA, 1944-2009
Economia Aplicada, 2011 Este artigo analisa a dinâmica da inflação brasileira a partir de uma estrutura fracionária com mudança de regime markoviana, MS-ARFIMA, fornecida por Tsay & W. (2009).
Erik Alencar de Figueiredo +1 more
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Frontiers in Systems Neuroscience, 2019 Electroencephalogram (EEG) undergoes complex temporal and spectral changes during voluntary movement intention. Characterization of such changes has focused mostly on narrowband spectral processes such as Event-Related Desynchronization (ERD) in the ...
Maitreyee Wairagkar +2 more
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Investigating Inflation Dynamics and Structural Change with an Adaptive ARFIMA Approach [PDF]
Previous models of monthly CPI inflation time series have focused on possible regime shifts, non-linearities and the feature of long memory. This paper proposes a new time series model, named Adaptive ARFIMA; which appears well suited to describe ...
Claudio Morana, Richard T. Baille
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Sèries temporals amb memòria llarga: models ARFIMA
, 2023 Treballs Finals de Grau de Matemàtiques, Facultat de Matemàtiques, Universitat de Barcelona, Any: 2023 , Director: Josep Vives i Santa ...
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Modeling of nonstationarity and long memory with RS-ARFIMA-GARCH model
African Journal of Applied Statistics, 2018 We consider in this study the problem of confusion between the nonstationarity and the long memory. Many authors have pointed out, in empirical case, the existence of long memory in financial and economics time series, through processes supposed short memory stationary (See Mikosch and Stáricá (2004) and Lobato and Savin (1998)).
FOFANA, Souleymane +2 more
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Jurnal Matematika Integratif, 2019 Investors having an understanding of investment statistics are important. Especially quantitative tools related to investment risk measurement. Value-at-Risk Adjusted is one of the investment risk measurement tools, which assumes that returns are not ...
F Sukono +4 more
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A Generalized ARFIMA Process with Markov-Switching Fractional Differencing Parameter [PDF]
We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models can be easily estimated with the
Wen-Jen Tsay, Wolfgang Härdle
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