Results 41 to 50 of about 4,760 (217)
Investigation of Fractal Market Hypothesis in Emerging Markets: Evidence from the MINT Stock Markets
Organizations and Markets in Emerging Economies, 2022 This study aims to investigate the market efficiency of emerging stock markets, namely the Mexico, Indonesia, Nigeria, and Turkey (MINT) stock markets based on the Fractal Market Hypothesis.
Yunus Karaömer
doaj +1 more source
Error and Model Misspecification in ARFIMA Process
Brazilian Review of Econometrics, 2001 In developing the long and short memory estimation, it is usually assumed that the innovations in the ARFIMA model are normally distributed. However, circumstances may occur where this assumption is not true. This paper uses Monte Carlo simulation to evaluate the robustness of different estimators of the fractional parameter in stationary and ...
Valderio A. Reisen +2 more
openaire +2 more sources
Predicting the Long-Term Dependencies in Time Series Using Recurrent Artificial Neural Networks
Machine Learning and Knowledge Extraction, 2023 Long-term dependence is an essential feature for the predictability of time series. Estimating the parameter that describes long memory is essential to describing the behavior of time series models.
Cristian Ubal +3 more
doaj +1 more source
On the Efficacy of ARFIMA, ARTFIMA, and MARFIMA Models in Forecasting Nigerian Crude Oil Prices
UMYU Scientifica JournalThis study presents a comprehensive evaluation of three advanced long-memory time series models— the Autoregressive Fractionally Integrated Moving Average (ARFIMA), the Autoregressive Tempered Fractionally Integrated Moving Average (ARTFIMA), and the ...
Musa Tasi’u +3 more
doaj +1 more source
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
doaj +1 more source
Forecasting long range dependent time series with exogenous variable using ARFIMAX model
The Indian Journal of Agricultural Sciences, 2020 Time series analysis and forecasting is one of the challenging issues of statistical modelling. Modelling of price and forecasting is a vital matter of concern for both the farming community and policy makers, especially in agriculture.
Krishna Pada Sarkar +6 more
doaj +1 more source
The Indian Journal of Agricultural Sciences, 2022 The objective of present study was to investigate the efficiency of Autoregressive fractionally integrated moving average model with exogenous input (ARFIMAX) in forecasting price of Indian mustard [Brassica juncea (L.) Czern. & Coss].
RANJIT KUMAR PAUL +4 more
doaj +1 more source
Adjusted Empirical Likelihood for Long-memory Time Series Models
, 2016 Empirical likelihood method has been applied to short-memory time series models by Monti (1997) through the Whittle's estimation method. Yau (2012) extended this idea to long-memory time series models. Asymptotic distributions of the empirical likelihood
Gamage, Ramadha D. Piyadi +2 more
core +1 more source
Environmetrics, Volume 37, Issue 3, April 2026.ABSTRACT We propose a new time series model for continuous data supported on the open unit interval (0,1)$$ \left(0,1\right) $$, motivated by applications in environmental and energy systems. The Matsuoka autoregressive moving average (MARMA) model combines the Matsuoka distribution‐a uniparametric member of the canonical exponential family‐as the ...
Guilherme Pumi +3 more
wiley +1 more source
Geometric shrinkage priors for K\"ahlerian signal filters
, 2015 We construct geometric shrinkage priors for K\"ahlerian signal filters. Based on the characteristics of K\"ahler manifolds, an efficient and robust algorithm for finding superharmonic priors which outperform the Jeffreys prior is introduced. Several ans\"
Choi, Jaehyung, Mullhaupt, Andrew P.
core +2 more sources