Results 181 to 190 of about 4,760 (217)
Some of the next articles are maybe not open access.
Indirect estimation of ARFIMA and VARFIMA models
Journal of Econometrics, 1999zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Martin, Vance L., Wilkins, Nigel P.
openaire +2 more sources
Estimation and testing of ARFIMA models in the real exchange rate
International Journal of Finance & Economics, 2002AbstractThe Purchasing Power Parity (PPP) hypothesis is one of the most important theoretical relationships in international economics. However, its empirical support remains controversial. We propose an alternative way of modelling the real exchange rate in five industrialized countries in relation to the US dollar, by means of fractionally integrated
GIL-ALANA, Luis A., TORO, Juan
openaire +2 more sources
Parametric estimation for ARFIMA models via spectral methods
Statistical Methods & Applications, 2005zbMATH Open Web Interface contents unavailable due to conflicting licenses.
COLI, Mauro +2 more
openaire +1 more source
Modeling and predicting stock returns using the ARFIMA-FIGARCH
2009 World Congress on Nature & Biologically Inspired Computing (NaBIC), 2009Modeling 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 +1 more
openaire +1 more source
Analysing inflation by the fractionally integrated ARFIMA-GARCH model
Journal of Applied Econometrics, 1996This paper considers the application of long-memory processes to describing inflation for 10 countries. We implement a new procedure to obtain approximate maximum likelihood estimates of an ARFIMA-GARCH process; which is fractionally integrated I(d) with a superimposed stationary ARMA component in its conditional mean.
Baillie, Richard T +2 more
openaire +2 more sources
Network Anomaly Detection Based on ARFIMA Model
2015In this paper, the estimation model ARFIMA is presented as a method of detecting anomalies in network traffic. Parameters estimation and model identification are performed with the use of algorithms of: Geweke and Porter-Hudak (estimation of the differencing parameters) and Box-Jankins (identification of the row of the model).
Tomasz Andrysiak, Lukasz Saganowski
openaire +1 more source
Optimal prediction with nonstationary ARFIMA model
Journal of Forecasting, 2007AbstractWe propose two methods to predict nonstationary long‐memory time series. In the first one we estimate the long‐range dependent parameterdby using tapered data; we then take the nonstationary fractional filter to obtain stationary and short‐memory time series.
openaire +1 more source
Forecasting comparisons using a hybrid ARFIMA and LRNN models
Communications in Statistics - Simulation and Computation, 2017In this article, an autoregressive fractionally integrated moving average model (ARFIMA) and a layer recurrent neural network (LRNN) were combined to form a hybrid forecasting model.
Augustine Pwasong, Saratha Sathasivam
openaire +1 more source
Long-Range Dependence and ARFIMA Models
2013In this chapter, long-range dependence concept, Hurst phenomenon and ARFIMA models are introduced and the earlier work on these subjects are reviewed. Several methodologies are introduced for the estimation of long-range dependence index (Hurst number or fractional difference parameter).
Ali Ercan +2 more
openaire +1 more source
Preliminary estimation of ARFIMA models
2000In 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