In this paper, a novel method for extracting the values of the coef®cients of time-varying ARMA processes is proposed. The approach discussed assumes solely that the orders of the numerator and the denominator polynomials are known. The algorithm is demonstrated to be stable in the sense of Lyapunov, furthermore, it is shown in the paper that the evolution in the parameter space takes place in ...

We consider a general linear filtering operation on an autoregressive moving average (ARMA) time series. The variance of the filter output, which is an important quantity in many applications, is not known with certainty because it depends on the true ARMA parameters. We derive an expression for the sensitivity (i.e., the partial derivative) of the output variance with respect to deviations in ...

In this paper, a novel method for extracting the values of the coef®cients of time-varying ARMA processes is proposed. The approach discussed assumes solely that the orders of the numerator and the denominator polynomials are known. The algorithm is demonstrated to be stable in the sense of Lyapunov, furthermore, it is shown in the paper that the evolution in the parameter space takes place in ...

The combination forecasting model IOWGA-EMD-ARMA-WNN is proposed in this paper. The randomness, periodicity and tendency of the original data are showed by EMD decomposition in EMD-ARMA model. WNN combines the advantages of wavelet analysis and BP neural network and improves the learning efficiency and forecasting accuracy. The weight of combination model is decided by forecasting precision of ...

OBJECTIVES AND METHODS armA is a novel plasmid-borne 16S rRNA methyltransferase that confers high-level resistance to 4,6-disubstituted deoxystreptamines. Recently, we have isolated from a high-level broad-spectrum aminoglycoside-resistant Escherichia coli animal isolate a plasmid, pMUR050, that bore the armA gene. In order to elucidate the genetic basis for the spread of armA, we have determin...

Among 235 extended-spectrum beta-lactamase-producing Klebsiella pneumoniae (ESBL) isolates collected from a nationwide surveillance performed in Taiwan, 102 (43.4%) were resistant to amikacin. Ninety-two of these 102 (90.2%) isolates were carrying CTX-M-type beta-lactamases individually or concomitantly with SHV-type or CMY-2 beta-lactamases. The armA and rmtB alleles were individually detected...

When we were fitting ARMA models to the data, we first looked at the sample autocovariance or autocorrelation function and we then tried to find the ARMA model whose theoretical acf matched with the sample acf. Now the sample autocovariance function is a nonparametric estimate of the theoretical autocovariance function of the process. In other words, we first estimated γ(h) nonparametrically by...

Abstract – Analysis of time series data can involve the inversion of large covariance matrices. For the class of ARMA (p, q) processes there are no exact explicit expressions for these inverses, except for the MA (1) process. In practice, the sample covariance matrix can be very large and inversion can be computationally time consuming and so approximate explicit expressions for the inverse are...

This note is concerned with the asymptotic properties of pairwise likelihood estimation procedures for linear time series models. The latter includes ARMA as well as fractionally integrated ARMA processes, where the fractional integration parameter d < 0.5. In some cases, including AR(1) processes and longmemory processes with d < 0.25, the loss in efficiency in using pairwise likelihood method...