Results 11 to 20 of about 6,621,438 (152)
Cumhuriyet Science JournalThe research delved into analysing the stochastic characteristics of Nigeria's Real GDP, the exchange rate of the Naira to US Dollar, and the inflation rate employing Autoregressive fractionally integrated moving average (ARFIMA) and the Autoregressive ...
Ayoade Adewole
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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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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 Eulàlia[en] Time series analysis plays a vital role in understanding various phenomena in a wide variety of fields ...
Muñoz Martínez, Sergio Gabriel
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Prediction using ARFIMA and FOU models of affluent energy [PDF]
, 2017 En este trabajo se estudian predicciones a partir de modelos ARFIMA y FOU para la serie de datos semanales de energía afluente generada por las represas hidroeléctricas de Uruguay entre 1909 y 2012. Se describe la serie de datos, y mediante la estimación
Kalemkerian, Juan
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A Study of Nigeria Monthly Stock Price Index Using ARTFIMA-FIGARCH Hybrid Model
UMYU Scientifica Journal, 2023 Long memory is a phenomenon in time series analysis that is exhibited by a slow decay of the autocorrelation function. It has been observed that the presence of long memory in both mean and volatility can complicate model fitting and compromise ...
A G Umar, H G Dikko, J Garba, M Tasi’u
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Annales Mathematicae Silesianae, 2018 In this survey paper we present a systematic methodology of how to identify origins of fractional dynamics. We consider three models leading to it, namely fractional Brownian motion (FBM), fractional Lévy stable motion (FLSM) and autoregressive ...
Weron Aleksander
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FORECASTING THE UNEMPLOYMENT RATE IN MALAYSIA DURING COVID-19 PANDEMIC USING ARIMA AND ARFIMA MODELS
Malaysian Journal of Computing, 2022 The unemployment issue is one of the most common problems faced by many countries around the world. The unemployment rates in developed countries often fluctuate throughout time.
Nur Afiqah Ismail +2 more
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Journal of Hydrology and Hydromechanics, 2014 Short term streamflow forecasting is important for operational control and risk management in hydrology. Despite a wide range of models available, the impact of long range dependence is often neglected when considering short term forecasting.
Szolgayová Elena +3 more
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Growth enterprise market in Hong Kong: Efficiency evolution and long memory in return and volatility [PDF]
Journal of Asian Business and Economic Studies, 2020 Purpose – Growth enterprise market (GEM) in Hong Kong is acknowledged as one of the world’s most successful examples of small and medium enterprise (SME) stock market.
Trang Nguyen +3 more
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Вестник Самарского университета: Естественнонаучная серия, 2023 For modeling in time series, models with fractional differences are widely used. The best known model is the ARFIMA (autoregressive fractionally integrated moving average) model.
Dmitriy V. Ivanov
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