Results 91 to 100 of about 21,636,733 (224)
Investigating the Efficacy of ARIMA and ARFIMA Models in Nigeria All Share Index Markets
ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, 2023 Dum Deebom Zorle +7 more
semanticscholar +1 more source
Aquila Optimizer‐Based Hybrid Predictive Model for Traffic Congestion in an IoT‐Enabled Smart City
International Journal of Intelligent Systems, Volume 2024, Issue 1, 2024.Effective traffic congestion prediction is need of the hour in a modern smart city to save time and improve the quality of life for citizens. In this study, AB_AO (ARIMA Bi‐LSTM using Aquila optimizer), a hybrid predictive model, is proposed using the most effective time‐series data prediction statistical model ARIMA (Autoregressive Integrated Moving ...
Ayushi Chahal +4 more
wiley +1 more source
An Overview of FIGARCH and Related Time Series Models
Austrian Journal of Statistics, 2016 This paper reviews the theory and applications related to fractionally integrated generalized autoregressive conditional heteroscedastic (FIGARCH) models, mainly for describing the observed persistence in the volatility of a time series.
Maryam Tayefi, T.V. Ramanathan
doaj +1 more source
Modelling and Forecasting Noisy Realized Volatility [PDF]
Several methods have recently been proposed in the ultra high frequency financial literature to remove the effects of microstructure noise and to obtain consistent estimates of the integrated volatility (IV) as a measure of ex-post daily volatility. Even
Asai, M., McAleer, M.J., Medeiros, M.
core +4 more sources
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
openaire +2 more sources
Measuring core inflation in the euro area [PDF]
We propose a measure of core inflation which is derived from a Markov switching ARFIMA model. The Markov switching ARFIMA model generalises the standard ARFIMA model allowing mean reversion to take place with respect to a changing unconditional mean.
Morana, Claudio
core
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 ...
openaire +1 more source
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
openaire +2 more sources
Persistência inflacionária regional brasileira: uma aplicação dos modelos arfima
Economia Aplicada, 2013 Este artigo analisa o fenômeno da persistência das taxas de inflação (IPCA) das regiões metropolitanas de Belém, Fortaleza, Recife, Salvador, Belo Horizonte, Rio de Janeiro, São Paulo, Curitiba e Porto Alegre, além de Brasília e Goiânia.
Cleomar Gomes da Silva +1 more
doaj
Autoregressive Times Series Methods for Time Domain Astronomy
Frontiers in Physics, 2018 Celestial objects exhibit a wide range of variability in brightness at different wavebands. Surprisingly, the most common methods for characterizing time series in statistics—parametric autoregressive modeling—are rarely used to interpret astronomical ...
Eric D. Feigelson +4 more
doaj +1 more source