autoregressive moving average modeling
Modeling and Forecasting of Carbon Dioxide Emissions in Bangladesh Using Autoregressive Integrated Moving Average (ARIMA) Models
... different Autoregressive Integrated Moving Average (ARIMA) models were developed to model the carbon dioxide emission by using time series data of forty-four years from ...
8
An Analysis Of The Relationship Between Risk And Return In The Gold Market Of Asian Countries
... main result showed that there existed volatility persistent between precious metals. It also stated that the negative information had most impact in these markets rather that positive information [6]. “Dynamic ...
10
GPS time series modeling by autoregressive moving average method: Application to the crustal deformation in central Japan
... Autoregressive moving average (ARMA) method is applied to modeling the time series of position changes of GPS sites, obtained by the Geographical Survey Institute (GSI) of Japan during the ...
8
Modeling and forecasting carbon dioxide emissions in China using Autoregressive Integrated Moving Average (ARIMA) models
... over the period 1965 to 2010 and discovered that the amount of carbon dioxide emissions will reach up to 925.68 million tons in 2020 in Iran. In Bangladesh, Rahman & Hasan (2017), using time series data of 44 years ...
13
Censored time series analysis with autoregressive moving average models
... by modeling their autocorrelations. Autoregressive moving average (ARMA) models for time series data devel- oped by Box and Jenkins (1970) have been widely used as a basic ...
25
Application of Seasonal Autoregressive Integrated Moving Average (SARIMA) in Modeling and Forecasting Philippine Real Gross Domestic Product
... Seasonal Autoregressive Integrated Moving Average (SARIMA), used for estimating model in forecasting RGDP for the next 6 years from 2014 to 2020, (2) Stepwise Multiple Linear Regression, used to ...
51
Modeling Export Price of Tea in Kenya: Comparison of Artificial Neural Network and Seasonal Autoregressive Integrated Moving Average
... Chikobvu and Sigauke (2012) developed SARIMA and regression with SARIMA errors models to predict daily peak electricity demand in South Africa. Empirical results showed that the SARIMA model produces more accurate ...
6
Forecasting Liquidity Ratio of Commercial Banks in Nigeria
... For modeling time series in the presence of long memory, the Autoregressive fractionally integrated moving average (ARFIMA) model is ...in modeling time series with long memory that is, ...
9
Time Series Analysis of Production and Price of Cattle and Milkfish in the Philippines
... The Ljung–Box test is rarely used in autoregressive integrated moving average (ARIMA) modeling. It is applied to the residuals of a fitted ARIMA model, not the original series, and in such ...
38
Modelling And Forecasting Small Haplochromine Species (Kambuzi) Production In Malawi - A Stochastic Model Approach
... stochastic modeling for cattle production and forecast the yearly production of cattle in the Tamilnadu state during 1970 – ...an autoregressive of order p (AR ...a moving-average of order q ...
5
Autoregressive Integrated Moving Average (ARIMA) Model for Exchange Rate (Naira to Dollar)
... Fortunately, there are models that can be constructed from a single realization to describe this time dependent phenomenon. Two such models that are very useful is modeling non. Stationary in mean are the ...
6
A Box-jenkins Model For Monthly Natural Gas Production In Nigeria
... of autoregressive integrated moving average (ARIMA) modeling, of which seasonal autoregressive integrated moving average (SARIMA) modeling is a special ...
5
Assessment of dynamic linear and non-linear models on rainfall variations predicting of Iran
... variability modeling in analyzing the variability patterns of rainfall ...variability modeling, the Autoregressive Integrated Moving Average (ARIMA) models and Autoregressive ...
17
Assessment of data-driven models in downscaling of the daily temperature in Birjand synoptic station
... Contemporaneous Autoregressive-Moving Average (CARMA), CARMA-ARCH (Autoregressive Conditional Heteroskedasticity), Support Vector Regression (SVR), Adaptive Neuro-Fuzzy Inference System ...
8
Estimation and forecasting in vector autoregressive moving average models for rich datasets
... non-invertible moving average polynomial to its corresponding invertible representation using Lippi and Reichlin’s 1994 procedure and continue ...an average of 34% and 56% for K = 3 and K = 10, ...
41
Testing for unit roots in autoregressive moving average models: An instrumental variable approach
... In this paper we have proposed a test for a unit root in autoregressive moving average time series models based on an instrumental variable estimator. The main advantage of the instrumen[r] ...
27
Comparative Study on Forecasting Accuracy among Moving Average Models with Simulation and PALTEL Stock Market Data in Palestine
... k-time moving average time series in three proposed models (a k-th moving average, a k-th weighted moving average and a k-th exponential weighted moving average), ...
8
Forecast Comparison of Seasonal Autoregressive Integrated Moving Average (SARIMA) and Self Exciting Threshold Autoregressive (SETAR) Models
... an autoregressive process and the threshold variable causing the regime change is also a lagged value of the variable being modeled we have the well known Self Exciting Threshold Auto-Regressive class of models ...
6
Evaluating the Forecast Performance of Autoregressive Conditional Heteroscedasticity (ARCH) Family Models
... The Generalized Autoregressive conditional heteroscedasticity models were propounded by [7] and [3]. They were the first researchers to propose a stationary non-linear model for y t , which he termed ARCH ...
7
An Explicit Expression of Average Run Length of Exponentially Weighted Moving Average Control Chart with ARIMA (p,d,q)(P, D, Q)L Models
... the Average Run Lengths and Median Run Lengths of these charts were sensitive to ...weighted moving average (EWMA) charts for normality assumption of the white noise term for AR(1) process with ...
11