Results 191 to 200 of about 4,760 (217)

On the Spectral Density of the Modified-ARFIMA Model

Journal of Chartered Institute of Statisticians of Nigeria
This study develops the Modified-ARFIMA Model and its spectral density for a recursive sequence differencing operator that can handle large data in time series that have long memory characteristics.
A. Bello, M. Tasi’u, H. G. Dikko, B. B. Alhaji   +3 more
openaire   +1 more source

Calculating and analyzing impulse responses for the vector ARFIMA model

Economics Letters, 2001
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire   +2 more sources

Modelling long-term heart rate variability: an ARFIMA approach

Biomedizinische Technik/Biomedical Engineering, 2006
Long-term heart rate variability (HRV) series can be described by time-variant autoregressive modelling. HRV recordings show dependence between distant observations that is not negligible, suggesting the existence of long-range correlations. In this work, selective adaptive segmentation combined with fractionally integrated autoregressive moving ...
Argentina S, Leite, Ana Paula, Rocha, M Eduarda, Silva, Ovídio, Costa   +3 more
openaire   +2 more sources

A Generalized ARFIMA Model with Smooth Transition Fractional Integration Parameter

Journal of Time Series Econometrics, 2017
Abstract This paper proposes a model of time-varying fractional integration where the long-memory parameter, d $d$
openaire   +1 more source

Network Traffic Prediction and Anomaly Detection Based on ARFIMA Model

2014
In this paper, we present network anomaly detection with the use of ARFIMA model. We propose the method of estimation parameters using the Hyndman-Khandakar algorithm to estimate the polymonials parameters and the Haslett and Raftery algorithm to estimate the differencing parameters.
Tomasz Andrysiak, Lukasz Saganowski, Michal Choras, Rafal Kozik   +3 more
openaire   +1 more source

Adaptive ARFIMA Models of Inflation

SSRN Electronic Journal, 2011
Claudio Morana, Richard Baillie
openaire   +1 more source

ARFIMA model decomposition for hydrological time series

2004
In questo lavoro viene proposta una procedura statistica per la decomposizione di processi ARFIMA(p,d,q) in componenti elementari. Il problema viene ricondotto a quello della decomposizione di un processo ARMA(p+1,q+1) sfruttando il modello ARMA(1,1) come ’proxy’ della componente di lunga memoria.
CORDUAS, MARCELLA, PICCOLO, DOMENICO
openaire   +1 more source

Efficient estimation method for generalized ARFIMA models

Communications in Statistics - Theory and Methods, 2022
S. S. Pandher, S. Hossain, K. Budsaba, A. Volodin   +3 more
openaire   +1 more source

Consistent order selection for ARFIMA processes

Annals of Statistics, 2022
Ngai Hang Chan, Ching-Kang Ing
exaly  

Statistical analysis of DWT coefficients of fGn processes using ARFIMA(p,d,q) models

Physica A: Statistical Mechanics and Its Applications, 2020
Vikram M Gadre, E Chandrasekhar
exaly