Results 201 to 210 of about 361,494 (239)

Uniform random parameter generation of stable minimum-phase real ARMA (p,q) processes

IEEE Signal Processing Letters, 1997
An algorithm to randomly generate the parameters of stable invertible autoregressive moving average processes of order (p,q)-ARMA(p,q)-is presented. The AR and MA portions are independent of each other, and their respective parameters have jointly uniform distributions with support defined by stability and invertibility considerations.
E.R. Beadle, P.M. Djuric
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Parametric ARMA(p, q)- GARCH(r, s) Models

2010
In this chapter we extend the results of the previous chapter to the parametric ARMA (p, q)-GARCH (r, s) model estimated by the QML method. In the first section we sketch the estimation theory based on Francq and Zakoian (2004). Then, analogously to the previous chapter, possible applications of the residual and the wild bootstrap are proposed and ...
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Two chi-square statistics for determining the orders p and q of an ARMA (p, q) process

IEEE Transactions on Signal Processing, 1993
Summary: The \(\theta\), \(\lambda\), and \(\eta\) functions have been previously proposed by the author [J. Time Ser. Anal. 12, No. 3, 193-205 (1991; Zbl 0729.62081)] for use in choosing the autoregressive (AR) and moving average (MA) orders of an \(\text{ARMA}(p,q)\) process visually.
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A new approximate GLS estimator for the linear regression model with ARMA(p, q) disturbances

Economics Letters, 1995
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Choudhury, Askar H., Power, Simon
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An inner–outer factorization in ℓ with applications to ARMA processes

Journal of Mathematical Analysis and Applications, 2016
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Raymond Cheng, William T. Ross
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Mind your ps and qs! Improving ARMA forecasts with RBC priors

Economics Letters, 2007
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Lees, Kirdan, Matheson, Troy
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MODEL ARMA(p,q) DENGAN ADDITIVE OUTLIERS DAN INNOVATION OUTLIERS [PDF]

, 2012
Data deret waktu merupakan serangkaian data yang berurutan berdasarkan waktu. Data deret waktu dapat digunakan untuk melihat proyeksi masa depan dari suatu variabel berdasarkan pada data masa lalu dan sekarang. Pada sekumpulan data deret waktu, kadang-kadang terdapat suatu nilai yang jauh berbeda dari data lainnya dan tidak mencerminkan karakteristik ...
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Insights into neural-network forecasting of time series corresponding to ARMA(p,q) structures

Omega, 2001
Abstract Motivated by the lack of evidence supporting the conjecture that the back-propagation neural network (BPNN) is a universal approximator thus it can perform at least comparably to linear models on linear data, this study is designed to answer two primary research questions, namely, “ how does the BPNN perform with respect to various ...
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A bootstrap simulation study in ARMA (p, q) structures

Journal of Forecasting, 1996
R. C. Souza, A. C. Neto
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An algorithm for testing goodness of fit of ARMA(p,q) models

1983
The algorithm presented here enables diagnostic checking on the adequacy of an initially specified invertible ARMA (p, q) model to a series of observations by using the estimated residuals. Tue theoretical motivation for this technique is given in Godolphin (1980), and a comparison with other methods in Clarke and Godolphin (1983) highlights this test,
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