23 documents matched the search for FARIMA in titles and keywords.
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11121
Day-ahead wind speed forecasting using f-ARIMA models,
Rajesh G. Kavasseri and Krithika Seetharaman,
in Renewable Energy
(2009)
Keywords: Wind speed forecasting; Time series analysis; f-ARIMA models;
Fuzzy Auto-Regressive Integrated Moving Average (FARIMA) Model for Forecasting the Gold Prices,
Sahed Abdelkader, Mekidiche Mohammeed and Kahoui Hacen,
in Journal of Smart Economic Growth
(2020)
Keywords: Gold Prices, Fuzzy Set, ARIMA, FARIMA
Estimating FARIMA models with uncorrelated but non-independent error terms,
Yacouba Boubacar Maïnassara, Youssef Esstafa and Bruno Saussereau,
in Statistical Inference for Stochastic Processes
(2021)
Keywords: Nonlinear processes, FARIMA models, Least-squares estimator, Consistency, Asymptotic normality, Spectral density estimation, Self-normalization, Cumulants
MULTIFRACTAL BEHAVIOR IN PRECIOUS METALS: WAVELET COHERENCY AND FORECASTING BY VARIMA AND V-FARIMA MODELS,
Itir Doğangün and Gazanfer Ünal,
in Annals of Financial Economics (AFE)
(2019)
Keywords: Gold, platinum, MF-DFA, co-movement, wavelet coherence, Vector FARIMA, VARIMA
Mixed Models as an Alternative to Farima,
Jos\'e Igor Morlanes,
from arXiv.org
(2017)
Local Polynomial Estimation with a FARIMA-GARCH Error Process,
Jan Beran and Yuanhua Feng,
from University of Konstanz, Center of Finance and Econometrics (CoFE)
(1999)
Bootstrap goodness-of-fit tests for farima models,
Javier Hidalgo,
from Universidad Carlos III de Madrid. Departamento de EstadÃstica
(1999)
Keywords: Goodness-of-fit
Modelling squared returns using a SETAR model with long-memory dynamics,
Gilles Dufrénot, Dominique Guegan and Anne Peguin-Feissolle,
from HAL
(2005)
Keywords: SETAR,Long-memory,FARIMA models,Stock indices
Temporal aggregation of stationary and nonstationary FARIMA (p, d, 0) models,
Jan Beran and Dirk Ocker,
from University of Konstanz, Center of Finance and Econometrics (CoFE)
(2000)
An extension of a logarithmic form of Cramér's ruin theorem to some FARIMA and related processes,
Ph. Barbe and W.P. McCormick,
in Stochastic Processes and their Applications
(2010)
Keywords: Maximum of random walk Cramer's theorem Fractional ARIMA process Ruin probability Large deviations
Asymptotic properties of sieve bootstrap prediction intervals for FARIMA processes,
Maduka Rupasinghe and V.A. Samaranayake,
in Statistics & Probability Letters
(2012)
Keywords: ARFIMA; Forecast intervals; Fractionally integrated time series; Long memory processes; Autoregressive approximations;
A frequency domain bootstrap for Whittle estimation under long-range dependence,
Young Min Kim and Daniel J. Nordman,
in Journal of Multivariate Analysis
(2013)
Keywords: FARIMA; Interval estimation; Long memory; Spectral density; Periodogram;
Empirical likelihood confidence intervals for the mean of a long-range dependent process,
Dan Nordman Nordman, Philipp Sibbertsen and Soumendra N. Lahiri,
from Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
(2005)
Keywords: blocking, confidence interval, empirical likelihood, FARIMA, long-range dependence
Prediction of Unemployment Rates with Time Series and Machine Learning Techniques,
Christos Katris,
in Computational Economics
(2020)
Keywords: FARIMA/GARCH, FARIMA, Neural networks, Support vector machines, Multivariate adaptive regression splines, Multiple steps ahead predictions, Forecasting accuracy
Heavy-traffic approximations for fractionally integrated random walks in the domain of attraction of a non-Gaussian stable distribution,
Ph. Barbe and W.P. McCormick,
in Stochastic Processes and their Applications
(2012)
Keywords: Heavy traffic; Ruin probability; Fractional random walk; FARIMA process; Fractional Lévy stable process;
The point process approach for fractionally differentiated random walks under heavy traffic,
Ph. Barbe and W.P. McCormick,
in Stochastic Processes and their Applications
(2012)
Keywords: Heavy traffic; Point process; Supremum functional; Fractional random walk; FARIMA process; Poisson process;
An explicit representation of Verblunsky coefficients,
N.H. Bingham, Akihiko Inoue and Yukio Kasahara,
in Statistics & Probability Letters
(2012)
Keywords: Verblunsky coefficients; Partial autocorrelation functions; Phase functions; FARIMA processes; Long memory;
Recent Developments in Non- and Semiparametric Regression with Fractional Time Series Errors,
Jan Beran and Yuanhua Feng,
from University of Konstanz, Center of Finance and Econometrics (CoFE)
(2002)
Keywords: Nonparametric regression, FARIMA error processes, bandwidth selection, iterative plug-in, SEMIFAR model
Stability and lack of memory of the returns of the Hang Seng index,
Krzysztof Burnecki, Janusz Gajda and Grzegorz Sikora,
in Physica A: Statistical Mechanics and its Applications
(2011)
Keywords: Hang Seng index; Long memory; FARIMA; Lévy stable distribution; Mean-squared displacement;
Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models,
Jan Beran, Yuanhua Feng and Sucharita Ghosh,
in Statistical Papers
(2015)
Keywords: Long-memory MEM model, Exponential FARIMA, Exponential ACD, Exponential SEMIFAR, Nonparametric scale function, Average durations,
Genetic Algorithms to Estimate Parameters of Fractional Arima Process,
Boyan Lomev and Maria Gergova,
in Yearbook of the Faculty of Economics and Business Administration, Sofia University
(2012)
Keywords: long-term dependence; FARIMA (p, d, q); Whittle method, genetic algorithms – binary and continuous, fitness function, selection, mutation, crossover.
Dynamics of Greece's unemployment rate: effect of the economic crisis and forecasting models,
Christos Katris,
in International Journal of Computational Economics and Econometrics
(2015)
Keywords: economic crisis; Greece; unemployment rate; unemployment hysteresis; unit root tests; Hurst exponent; R/S method; ARIMA; FARIMA model; forecasting models; long memory dynamics.
Comparison of several combined methods for forecasting Tehran stock exchange index,
Ali Raoofi, Amir Hossein Montazer-Hojjat and Pouyan Kiani,
in International Journal of Business Forecasting and Marketing Intelligence
(2016)
Keywords: stock markets; stock index forecasting; ANNs; artificial neural networks; ANFIS; adaptive neuro-fuzzy inference systems; fuzzy logic; FARIMA; Iran; daily stock indices; forecasting accuracy.
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