Results 71 to 80 of about 12,105 (264)
International Journal of Financial StudiesVolatility modelling is a key feature of financial risk management, portfolio optimisation, and forecasting, particularly for market indices such as the JSE Top40 Index, which serves as a benchmark for the South African stock market.
Israel Maingo +2 more
doaj +1 more source
MUST: Journal of Mathematics Education, Science and Technology, 2018 Suatu aliran sungai menentukan prediksi debit sungai sulit, biasanya nilai yang digunakan sebagai patokan adalah hasil pantauan tinggi muka air. Pada bulan Juli 2016, luapan sungai Bengawan Solo mengakibatkan banjir di kawasan Solo Timur.
Retno Tri Vulandari +1 more
doaj +1 more source
On the stability of nonlinear ARMA models [PDF]
In the present paper we study the stability of a class of nonlinear ARMA models. We derive a sufficient condition to ensure the geometric ergodicity and we apply it to a very general threshold ARMA model imposing a mild assumption on the ...
Fonseca Giovanni
core
On Misspecified ARMA Model Fittings to Exponential Processes [PDF]
, 2015 We investigate some properties on a misspecified Gaussian ARMA(p,q) model fitting to Exponential processes with order 2 (abbreviated to EX(2) process).
Tanaka, Minoru
core +1 more source
Insect Conservation and Diversity, EarlyView.1972–2017, the total moth biomass ina subarctic community had a positive trend but biomass trends differ betweenmoth groups based on taxonomy, phenology and resource use. In the northern latitudes,outbreaking species impact greatly moth biomass Moth biomass is associated withtemperature variables and marine Regime shifts, which can be effective ...
Julia J. J. Fält‐Nardmann +7 more
wiley +1 more source
ARMA Identification of Graphical Models
IEEE Transactions on Automatic Control, 2013 Consider a Gaussian stationary stochastic vector process with the property that designated pairs of components are conditionally independent given the rest of the components. Such processes can be represented on a graph where the components are nodes and the lack of a connecting link between two nodes signifies conditional independence. This leads to a
Enrico Avventi +2 more
openaire +3 more sources
Simplified Machine Diagnosis Techniques Using ARMA Model of Absolute Deterioration Factor
, 2007 In order to diagnose machines accurately, the Kurtosis and Bicoherence methods were utilized. Calculating system parameter distance was also utilized to apply time series data to Autoregressive (AR) model or Autoregressive Moving Average (ARMA) model. In
石井, 康夫 +3 more
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Forecasting of Carbon Price Based on Boosting-ARMA Model
, 2017 自回归滑动平均(ARMA)模型是最流行的预测模型之一,而模型选择却是使用ARMA进行预测的难点,尤其是当真实模型的阶数较高时,因此提出Boosting-ARMA预测算法,利用Boosting算法进行最优子集ARMA寻找,自动且高效地完成ARMA模型的识别。模拟实验显示,Boosting-ARMA优于其他方法,用新算法预测碳价实证分析发现,Boosting-ARMA算法可以获得较高的碳价预测准确性并且方便快捷。Autoregressive moving average （ARMA） model is ...
王娜
core +1 more source
A Comparative Review of Specification Tests for Diffusion Models
International Statistical Review, EarlyView.Summary Diffusion models play an essential role in modelling continuous‐time stochastic processes in the financial field. Therefore, several proposals have been developed in the last decades to test the specification of stochastic differential equations.
A. López‐Pérez +3 more
wiley +1 more source
Missing Values in Time Series: A Brief Review and a New Versatile Imputation Method
International Statistical Review, EarlyView.Summary Missing data can significantly hamper standard time series analysis, yet they occur frequently in applications. In this paper, we briefly review some available methods for handling missing values and introduce the temporal Wasserstein imputation, a novel method for imputing missing data in time series.
Shuo‐Chieh Huang +2 more
wiley +1 more source